Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models (Q455849)
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scientific article; zbMATH DE number 6097301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models |
scientific article; zbMATH DE number 6097301 |
Statements
Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models (English)
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22 October 2012
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option pricing
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partial integro-differential equation
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linear complementarity problem
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finite difference method
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infinite-activity model
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