Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
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Publication:1938114
DOI10.1155/2012/120358zbMath1256.91063OpenAlexW1995977939WikidataQ58694851 ScholiaQ58694851MaRDI QIDQ1938114
M. C. Casabán, Lucas Jodar, José Vicente Romero, Rafael Company
Publication date: 4 February 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/120358
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09)
Related Items (4)
Numerical Analysis of Novel Finite Difference Methods ⋮ Unconditional positive stable numerical solution of partial integrodifferential option pricing problems ⋮ Positive solutions of European option pricing with CGMY process models using double discretization difference schemes ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
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