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Lower bound approximation of nonlinear basket option with jump-diffusion - MaRDI portal

Lower bound approximation of nonlinear basket option with jump-diffusion (Q5855718)

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scientific article; zbMATH DE number 7326406
Language Label Description Also known as
English
Lower bound approximation of nonlinear basket option with jump-diffusion
scientific article; zbMATH DE number 7326406

    Statements

    publication date
    19 March 2021
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    zbMATH Keywords
    basket option
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    nonlinear stochastic differential equations
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    Poisson process
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    split step backward Euler method
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    title
    Lower bound approximation of nonlinear basket option with jump-diffusion (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C30
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    60H10
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    65L20
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    91G20
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    zbMATH DE Number
    7326406
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    OpenAlex ID
    W3164237665
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