Numerical valuation of options with jumps in the underlying

DOI10.1016/j.apnum.2004.08.037zbMath1117.91028MaRDI QIDQ1775609

Cornelis W. Oosterlee, Ariel Almendral

Publication date: 4 May 2005

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2004.08.037

zbMATH Keywords

Integro-differential equations; Finite elements; Finite differences; Fast Fourier transform; Option pricing; Jump-diffusion processes

Mathematics Subject Classification ID

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