A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/090777529
Reference13 articles.
1. Numerical valuation of options with jumps in the underlying
2. Processes of normal inverse Gaussian type
3. The Pricing of Options and Corporate Liabilities
4. Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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