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Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

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Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

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Casabán Bartual, MC.; Company Rossi, R.; Jódar Sánchez, LA.; Romero Bauset, JV. (2012). Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models. Abstract and Applied Analysis. 2012:1-20. https://doi.org/10.1155/2012/120358

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/19070

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Title: Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models
Author: Casabán Bartual, Mª Consuelo Company Rossi, Rafael Jódar Sánchez, Lucas Antonio Romero Bauset, José Vicente
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution ...[+]
Subjects: Levy driven assets , American options , Numerical valuation , Convergence , Equations , Finance
Copyrigths: Reconocimiento (by)
Source:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2012/120358
Publisher:
Hindawi Publishing Corporation
Publisher version: http://dx.doi.org/10.1155/2012/120358
Project ID:
info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/
Thanks:
This paper was supported by the Spanish M.E.Y.C. Grant DPI2010-20891-C02-01.
Type: Artículo

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