Numerical stability of a hybrid method for pricing options
Maya Briani, Lucia Caramellino and Giulia Terenzi, Antonino Zanette
| Year of publication: |
2019
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|---|---|
| Authors: | Briani, Maya ; Caramellino, Lucia ; Terenzi, Giulia ; Zanette, Antonino |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 7, p. 1-46
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| Subject: | Stochastic volatility | jump-diffusion process | European and American options | tree methods | finite-difference | numerical stability | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Numerisches Verfahren | Numerical analysis | Derivat | Derivative | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500365 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153319