Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - Finance Discipline Group, Business School - 2008
as the delta and gamma of the option, thereby extending the method developed by Meyer (1998) for the case of jump-diffusion …-partial differential pricing equation. The first is an extension to the jump-diffusion situation of the componentwise splitting method of … Stochastic Volatility
and Jump-Diffusion Dynamics Using the Method of Lines
Carl Chiarella, Boda Kang, Gunter H Meyer, and …