Fast deterministic pricing of options on Lévy driven assets (Q5315443)
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scientific article; zbMATH DE number 2203755
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast deterministic pricing of options on Lévy driven assets |
scientific article; zbMATH DE number 2203755 |
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Fast deterministic pricing of options on Lévy driven assets (English)
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8 September 2005
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arbitrage-free prices
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European contracts on risky assets
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parabolic partial integro-differential equation
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Galerkin method
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Lévy price processes
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