A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
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Publication:633968
DOI10.1016/j.cam.2011.05.002zbMath1220.91042OpenAlexW2091020988MaRDI QIDQ633968
Hyun Suk Park, Xiao-Song Qian, Kwang Ik Kim
Publication date: 2 August 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.05.002
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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