Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
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Publication:486710
DOI10.1007/s10543-014-0490-4zbMath1310.65168OpenAlexW2012177446MaRDI QIDQ486710
Publication date: 16 January 2015
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-014-0490-4
diffusion approximationoption pricingerror estimateLévy processfinite differences methodjump-diffusion modelsparabolic integro-differential equationinfinite activity
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Microeconomic theory (price theory and economic markets) (91B24)
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