A spectral element framework for option pricing under general exponential Lévy processes
DOI10.1007/s10915-013-9713-0zbMath1281.91182MaRDI QIDQ395363
David A. Kopriva, Pierre Garreau
Publication date: 29 January 2014
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-013-9713-0
Lévy processes; option pricing; variance gamma; partial-integro differential equation; spectral element methods
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
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