Pricing Derivatives Under Lévy Models

DOI10.1007/978-1-4939-6792-6zbMath1419.91002OpenAlexW2594041857MaRDI QIDQ2835278

Andrey Itkin

Publication date: 1 December 2016

Published in: Pseudo-Differential Operators (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6792-6

zbMATH Keywords

finite difference schemesLévy processpartial integro-differential equationM-matricesEM-matriceslocal stochastic volatility modelstructural default models

Mathematics Subject Classification ID

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