A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
type: Item
instance of: scholarly article
title: A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
zbMATH Open document ID: 1443.91300
author: Wenguang Tang
author: Shuhua Chang
publication date: 2020-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7258791
zbMATH Keywords: jump-diffusion
zbMATH Keywords: option pricing
zbMATH Keywords: semi-Lagrangian method
zbMATH Keywords: partial integro-differential equation
MaRDI profile type: Publication
full work available at URL: j.camwa.2015.12.040
OpenAlex ID: W2278627864
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DOI: 10.1016/J.CAMWA.2015.12.040
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7258791