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

DOI10.22067/IJNAO.2021.11333.0zbMATH Open1484.91486OpenAlexW3177373297MaRDI QIDQ3390750FDOQ3390750

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

Publication date: 25 March 2022

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

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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)

Uses Software

• Matlab

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