Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
Author:
Affiliation:
1. Department of Mathematics; Institute for Advanced Studies in Basic Sciences (IASBS); Zanjan Iran
2. Department of Mathematics, Art and Science Faculty; Siirt University; Siirt Turkey
Publisher
Wiley
Subject
General Engineering,General Mathematics
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/mma.5363/fullpdf
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5. Numerical simulation of the Heston model under stochastic correlation;Teng;Int J Financial Stud,2018
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