Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
| Year of publication: |
2012
|
|---|---|
| Authors: | Itkin, Andrey ; Carr, Peter |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 40.2012, 1, p. 63-104
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Pseudo-parabolic equations | Jump-diffusion | Finite-difference scheme | Numerical method | The Green function | General stable tempered process |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866869