A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion (Q2006652)
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scientific article; zbMATH DE number 7258791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion |
scientific article; zbMATH DE number 7258791 |
Statements
A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion (English)
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11 October 2020
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jump-diffusion
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option pricing
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semi-Lagrangian method
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partial integro-differential equation
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