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A PDE approach to jump-diffusions - MaRDI portal

A PDE approach to jump-diffusions (Q2994851)

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A PDE approach to jump-diffusions
scientific article

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    title
    A PDE approach to jump-diffusions (English)
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    author
    Peter Carr
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    Laurent Cousot
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    publication date
    29 April 2011
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    zbMATH DE Number
    5882385
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    zbMATH Keywords
    martingales
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    jump-diffusion processes
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    partial differential equations
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    calibration
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    options
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    OpenAlex ID
    W3124878934
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    cites work
    Expensive martingales
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