An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Yingzi Chen, Wansheng Wang, Aiguo Xiao
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Yingzi ; Wang, Wansheng ; Xiao, Aiguo |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 4, p. 1565-1591
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| Subject: | European option pricing | American option pricing | Algebraic multigrid methods | Discontinuous Galerkin finite element methods | Finite difference methods | Merton’s jump-diffusion model | Nonuniform mesh | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Optionsgeschäft | Option trading | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9823-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012135577