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Search: subject:"Partial Integro-Differential Equation PIDE"
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American Dividend Paying Options
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Business cycle
1
Characteristic Function in Affine Form
1
Economic Recession
1
Estimation theory
1
Fast Fourier Transform (FFT)
1
Fourier Transform
1
Jump diffusion
1
Konjunktur
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Option pricing theory
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Option trading
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Optionsgeschäft
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Optionspreistheorie
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Partial Integro-Differential Equation PIDE
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Schätztheorie
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Stochastic process
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Stochastischer Prozess
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Volatility
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Volatility Change
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Volatilität
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matrix exponential
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partial integro-differential equation (PIDE)
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splitting
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unconditionally stable schemes
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English
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Bankole, Philip Ajibola
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Itkin, Andrey
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Ugbebor, Olabisi O.
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Journal of mathematical finance
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The journal of computational finance
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ECONIS (ZBW)
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Fast fourier transform based computation of American options under economic recession induced volatility uncertainty
Bankole, Philip Ajibola
;
Ugbebor, Olabisi O.
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 494-521
Persistent link: https://www.econbiz.de/10012210366
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2
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
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