Wavelet method for option pricing under the two-asset Merton jump-diffusion model (Q3384784)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wavelet method for option pricing under the two-asset Merton jump-diffusion model |
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Wavelet method for option pricing under the two-asset Merton jump-diffusion model (English)
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17 December 2021
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Merton model
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wavelet-Galerkin method
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integro-differential equation
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spline wavelets
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Crank-Nicolson scheme
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sparse matrix
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option pricing
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