Option Pricing in Some Non-Lévy Jump Models (Q5739799)
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scientific article; zbMATH DE number 6604581
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option Pricing in Some Non-Lévy Jump Models |
scientific article; zbMATH DE number 6604581 |
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Option Pricing in Some Non-Lévy Jump Models (English)
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20 July 2016
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jump processes
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subordinate diffusions
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option pricing
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time change
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finite difference approximation
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matrix eigendecomposition
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