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IMEX schemes for pricing options under jump–diffusion models

✍ Scribed by Salmi, Santtu; Toivanen, Jari

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

An IMEX-Scheme for Pricing Options under

✍ Salmi, Santtu; Toivanen, Jari; von Sydow, Lina 📂 Article 📅 2014 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 287 KB

Option pricing under regime-switching ju

✍ Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 511 KB

PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

✍ Erhan Bayraktar; Hao Xing 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 217 KB

Option pricing under jump-diffusion mode

✍ Miao, Daniel Wei-Chung; Lin, Xenos Chang-Shuo; Chao, Wan-Ling 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 592 KB

Option Pricing Under a Double Exponentia

✍ Kou, S. G.; Wang, Hui 📂 Article 📅 2004 🏛 INFORMS 🌐 English ⚖ 226 KB

Pricing Options in Jump-Diffusion Models

✍ Feng, Liming; Linetsky, Vadim 📂 Article 📅 2008 🏛 INFORMS 🌐 English ⚖ 502 KB