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  • Search: subject:"ADI finite difference method"
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ADI finite difference method 1 fast Fourier transform 1 forward equation 1 jump-diffusion process 1 local time 1 volatility smile 1
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Article 1
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Andersen, Leif 1 Andreasen, Jesper 1
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Review of Derivatives Research 1
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RePEc 1
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Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
Andersen, Leif; Andreasen, Jesper - In: Review of Derivatives Research 4 (2000) 3, pp. 231-262
finite difference method that is shown to be unconditionally stable and, if combined with Fast Fourier Transform methods … be used to fit the model to European option prices. For numerical pricing of general contingent claims, we develop an ADI …
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