A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL (Q5500251)
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scientific article; zbMATH DE number 6470817
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL |
scientific article; zbMATH DE number 6470817 |
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A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL (English)
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5 August 2015
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jump-diffusion
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Simpson's rule
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non-uniform grid
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implicit finite difference method
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derivative securities
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partial integro-differential equation
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numerical experiment
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option prices
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