Contour integral method for European options with jumps

DOI10.1016/j.cnsns.2012.08.003zbMath1278.91182OpenAlexW1998131819MaRDI QIDQ391441

Edson Pindza, Kailash C. Patidar, Edgard Ngounda

Publication date: 10 January 2014

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10566/3392

zbMATH Keywords

Laplace transformcontour integraldomain decomposition methodspectral methodsBlack-Scholes equationjump-diffusion modelsGreeks

Mathematics Subject Classification ID

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