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Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

✍ Scribed by Wang, Yang; Bian, Baojun; Zhang, Jizhou


Book ID
125364526
Publisher
Springer
Year
2013
Tongue
English
Weight
724 KB
Volume
161
Category
Article
ISSN
0022-3239

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri