CUTTING EDGE - Option pricing - Stepping through Fourier space - Diverse finite-difference schemes for solving pricing problems with Lévy underlyings appear in financial literature. Invariably, the integral and diffusive terms are treated asymmetrically, large jumps are truncated, and the methods are difficult to extend to higher dimensions and cannot easily incorporate regime switching or ...
| Year of publication: |
2009
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|---|---|
| Authors: | Jaimungal, Sebastian ; Surkov, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 7, p. 78-83
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