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Persistent link: https://www.econbiz.de/10011815291
This paper is a further extension of the method proposed in Itkin (2014) as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes...
Persistent link: https://www.econbiz.de/10013040423