A spectral element framework for option pricing under general exponential Lévy processes
DOI10.1007/s10915-013-9713-0zbMath1281.91182OpenAlexW1991941490MaRDI QIDQ395363
David A. Kopriva, Pierre Garreau
Publication date: 29 January 2014
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-013-9713-0
Lévy processesoption pricingvariance gammapartial-integro differential equationspectral element methods
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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