An implicit double discretization method for pricing options under Metron's jump-diffusion model
zbMATH Open1389.91125MaRDI QIDQ3132252FDOQ3132252
Xiao-Ting Gan, Quan-Yu Dou, Jun-Feng Yin
Publication date: 29 January 2018
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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