Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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Publication:5320693
Theoretical approximation in context of PDEs (35A35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80)
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- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Numerical solution of two asset jump diffusion models for option valuation
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