ADI method of credit spread option pricing based on jump-diffusion model

DOI10.22067/IJNAO.2021.11333.0MaRDI QIDQ3390750zbMATH OpenOpenAlexFDO

Authors R. Mohamadinejad, A. Neisy, J. Biazar

Publication date 25 March 2022

Full work available at URL https://doaj.org/article/b790c7965f284fa78027e1bae10fe78f

zbMATH Keywords

convergenceoption pricinginterest ratejump-diffusion modelsalternating direction implicit

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Describes a project that uses

Uses Software

• Matlab

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