Option pricing under a jump-telegraph diffusion model with jumps of random size
DOI10.1080/00207160.2019.1579315OpenAlexW2913106466WikidataQ128440139 ScholiaQ128440139MaRDI QIDQ5031709FDOQ5031709
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Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2019.1579315
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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- Option pricing driven by a telegraph process with random jumps
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