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Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models - MaRDI portal

Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (Q5372098)

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scientific article; zbMATH DE number 6797118
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English
Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models
scientific article; zbMATH DE number 6797118

    Statements

    title
    Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (English)
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    author
    Xiao-Ting Gan
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    Jun-Feng Yin
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    Yunxiang Guo
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    publication date
    24 October 2017
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    zbMATH Keywords
    finite volume method
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    option pricing
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    jump-diffusion models
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    linear complementarity problems
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    GMRES method
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    modulus-based successive overrelaxation method
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65M08
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    65M12
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    65M60
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    65N40
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    35Q91
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    zbMATH DE Number
    6797118
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    OpenAlex ID
    W2611871352
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