Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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Publication:5320693
DOI10.1137/060674697zbMath1178.35225OpenAlexW2000419761MaRDI QIDQ5320693
Publication date: 22 July 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/060674697
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Theoretical approximation in context of PDEs (35A35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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