Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
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Publication:5245903
DOI10.1080/14697688.2011.618144zbMath1402.91890OpenAlexW2016299261MaRDI QIDQ5245903
Granville Sewell, Ionut Florescu, Maria Christina Mariani
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.618144
partial differential equationsjump-diffusion processesnumerical methods for option pricingapplied mathematical finance
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Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels ⋮ Numerical study for European option pricing equations with non-levy jumps
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Cites Work
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