Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Karel in 't Hout and Pieter Lamotte
| Year of publication: |
2023
|
|---|---|
| Authors: | Hout, Karel J. in 't ; Lamotte, Pieter |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2023, 4, p. 101-137
|
| Subject: | partial integro-differential equations | operator splitting methods | stability | conver-gence | Kou model | European options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2023.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342075