Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
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Publication:2875711
DOI10.1002/num.21864zbMath1294.91191OpenAlexW2079518554MaRDI QIDQ2875711
Edgard Ngounda, Edson Pindza, Kailash C. Patidar
Publication date: 11 August 2014
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21864
jump-diffusion processesEuropean optionspartial integro-differential equationClenshaw-Curtis quadratureimplicit-explicit predictor-corrector methodsrational spectral methods
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