Option pricing in jump diffusion models with quadratic spline collocation
type: Item
instance of: scholarly article
title: Option pricing in jump diffusion models with quadratic spline collocation
zbMATH Open document ID: 1410.91440
author: Christina C. Christara
author: Nat Chun-Ho Leung
published in: Applied Mathematics and Computation
publication date: 2019-03-20T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 65D07
Mathematics Subject Classification ID: 65M70
zbMATH DE Number: 7039625
zbMATH Keywords: quadratic spline
zbMATH Keywords: collocation
zbMATH Keywords: American option
zbMATH Keywords: partial integro-differential equation
zbMATH Keywords: Merton's model
zbMATH Keywords: Kou's model
zbMATH Keywords: calculation of Greeks
MaRDI profile type: Publication
full work available at URL: j.amc.2015.12.045
OpenAlex ID: W2294370856
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cites work: A Jump-Diffusion Model for Option Pricing
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
DOI: 10.1016/J.AMC.2015.12.045
description: scientific article; zbMATH DE number 7039625