scientific article; zbMATH DE number 1069622
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Publication:4356584
zbMath0898.90038MaRDI QIDQ4356584
Publication date: 8 November 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stochastic differential equationnumerical methodsoption pricingAmerican optionsvaluationjump-diffusion model
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Convergence of hitting times for jump-diffusion processes ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
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