Pricing options under jump diffusion processes with fitted finite volume method

DOI10.1016/j.amc.2007.12.043zbMath1142.91576OpenAlexW2136287637WikidataQ59416196 ScholiaQ59416196MaRDI QIDQ945264

Kai Zhang, Songgui Wang

Publication date: 12 September 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.12.043

zbMATH Keywords

finite volume methodFFTpenalty methodjump diffusion processespartial integro-differential equation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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