On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models (Q6167138)
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scientific article; zbMATH DE number 7708725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models |
scientific article; zbMATH DE number 7708725 |
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On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models (English)
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7 July 2023
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European option pricing
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regime-switching Kou's jump-diffusion model
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partial integro-differential equation
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fitted finite volume method
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Crank-Nicolson scheme
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