Fast numerical valuation of options with jump under Merton's model (Q507854)
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scientific article; zbMATH DE number 6682617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast numerical valuation of options with jump under Merton's model |
scientific article; zbMATH DE number 6682617 |
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Fast numerical valuation of options with jump under Merton's model (English)
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9 February 2017
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European option pricing
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American option pricing
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Merton's jump-diffusion model
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finite difference methods
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discontinuous Galerkin finite element methods
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multigrid methods
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