Pricing Derivatives Under Lévy Models (Q2835278)
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scientific article; zbMATH DE number 6658825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Derivatives Under Lévy Models |
scientific article; zbMATH DE number 6658825 |
Statements
Pricing Derivatives Under Lévy Models (English)
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1 December 2016
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Lévy process
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partial integro-differential equation
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M-matrices
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EM-matrices
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finite difference schemes
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structural default models
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local stochastic volatility model
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