scientific article; zbMATH DE number 7598116

MaRDI QIDQ5038729

Abdolsadeh Neisy, R. Mohamadinejad, Jafar Biazar

Publication date: 7 October 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

numerical methodinterest ratejump-diffusion modelsspread option pricingalternating direction Implicit

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (1)

An RBF approach for oil futures pricing under the jump-diffusion model

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