Numerical study for European option pricing equations with non-levy jumps
DOI10.1080/00036811.2019.1646252zbMath1471.91623OpenAlexW2963851326MaRDI QIDQ4987125
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Publication date: 28 April 2021
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036811.2019.1646252
finite difference methodoption pricingjump-diffusion processespartial integro-differential equations
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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