A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
DOI10.1080/00207160.2014.986114zbMath1335.91098OpenAlexW1991041280MaRDI QIDQ2804029
Davood Ahmadian, Luca Vincenzo Ballestra
Publication date: 27 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.986114
Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
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