Lower bound approximation of nonlinear basket option with jump-diffusion
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Publication:5855718
DOI10.22124/jmm.2020.16126.1408zbMath1474.91248OpenAlexW3164237665MaRDI QIDQ5855718
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Publication date: 19 March 2021
Full work available at URL: https://jmm.guilan.ac.ir/article_4226_1b4d910cad60b8833e6f28bc1332a38b.pdf
Poisson processnonlinear stochastic differential equationsbasket optionsplit step backward Euler method
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)
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