An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps (Q5003927)
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scientific article; zbMATH DE number 7376641
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps |
scientific article; zbMATH DE number 7376641 |
Statements
An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps (English)
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30 July 2021
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barrier option
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jump-diffusion
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option pricing
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partial integro-differential equation
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Richardson extrapolation
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