IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models (Q5205236)
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scientific article; zbMATH DE number 7142152
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models |
scientific article; zbMATH DE number 7142152 |
Statements
10 December 2019
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implicit-explicit methods
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semi-Lagrangian scheme
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fixed strike Asian options with jumps
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arithmetic average price
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IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models (English)
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