A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
From MaRDI portal
Publication:633968
DOI10.1016/j.cam.2011.05.002zbMath1220.91042MaRDI QIDQ633968
Kwang Ik Kim, Hyun Suk Park, Xiao-Song Qian
Publication date: 2 August 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.05.002
91G60: Numerical methods (including Monte Carlo methods)
45K05: Integro-partial differential equations
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
35R35: Free boundary problems for PDEs
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