A finite difference scheme for pricing American put options under Kou's jump-diffusion model
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Publication:1951078
DOI10.1155/2013/651573zbMath1264.91138OpenAlexW2050532895WikidataQ59014581 ScholiaQ59014581MaRDI QIDQ1951078
Zhongdi Cen, Anbo Le, Jian Huang
Publication date: 29 May 2013
Published in: Journal of Function Spaces and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/651573
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items (5)
Comparison of numerical methods on pricing equations with non-Lévy jumps ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
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