Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085)
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scientific article; zbMATH DE number 5362090
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Methods for the rapid solution of the pricing PIDEs in exponential and Merton models |
scientific article; zbMATH DE number 5362090 |
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Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (English)
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6 November 2008
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jump-diffusion process
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option pricing
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differential equations
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