Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models

DOI10.1155/2012/120358zbMath1256.91063WikidataQ58694851 ScholiaQ58694851MaRDI QIDQ1938114

M. C. Casabán, Rafael Company, José Vicente Romero, Lucas Jodar

Publication date: 4 February 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/120358

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35R09: Integro-partial differential equations