Numerical schemes for option pricing in regime-switching jump diffusion models
Ionut Florescu; Ruihua Liu; Maria Cristina Mariani and Granville Sewell
| Year of publication: |
2013
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|---|---|
| Authors: | Florescu, IonuĊ£ ; Liu, Rui Hua ; Mariani, Maria Cristina ; Sewell, Granville |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 8, p. 1-25
|
| Subject: | Numerical algorithms | system of partial integro-differential equations | regimeswitching jump diffusion | option pricing | implicit and explicit finite element methods | Optionspreistheorie | Option pricing theory | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010243624