Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model (Q2875711)
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scientific article; zbMATH DE number 6328561
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model |
scientific article; zbMATH DE number 6328561 |
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11 August 2014
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partial integro-differential equation
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jump-diffusion processes
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European options
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implicit-explicit predictor-corrector methods
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rational spectral methods
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Clenshaw-Curtis quadrature
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Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model (English)
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