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  • Search: subject:"system of partial integro-differential equations"
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Subject
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Numerical algorithms 2 implicit and explicit finite element methods 2 option pricing 2 system of partial integro-differential equations 2 Algorithm 1 Algorithmus 1 Mathematical programming 1 Mathematische Optimierung 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 regime-switching jump diffusion 1 regimeswitching jump diffusion 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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FLORESCU, IONUT 1 Florescu, Ionuţ 1 LIU, RUIHUA 1 Liu, Rui Hua 1 MARIANI, MARIA CRISTINA 1 Mariani, Maria Cristina 1 SEWELL, GRANVILLE 1 Sewell, Granville 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
FLORESCU, IONUT; LIU, RUIHUA; MARIANI, MARIA CRISTINA; … - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350046-1
In this paper, we present algorithms to solve a complex system of partial integro-differential equations (PIDE's) of …
Persistent link: https://www.econbiz.de/10010734708
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Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ; Liu, Rui Hua; Mariani, Maria Cristina; … - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
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