Robust numerical methods for contingent claims under jump diffusion processes

DOI10.1093/imanum/drh011zbMath1134.91405OpenAlexW2076959590MaRDI QIDQ4659906

Y. d'Halluin, Kenneth Vetzal, Peter A. I. Forsyth

Publication date: 21 March 2005

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/263655e713a9ceb2858a32dd6754fba92a5dead1

Mathematics Subject Classification ID

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