CHIARELLA, CARL; KANG, BODA; MEYER, GUNTER H.; ZIOGAS, … - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 393-425
the delta and gamma of the option, thereby extending the method developed by Meyer [26] 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 …