Numerical schemes for option pricing in regime-switching jump diffusion models
Year of publication: |
2013
|
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Authors: | Florescu, Ionuţ ; Liu, Rui Hua ; Mariani, Maria Cristina ; Sewell, Granville |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 8, p. 1-25
|
Subject: | Numerical algorithms | system of partial integro-differential equations | regimeswitching jump diffusion | option pricing | implicit and explicit finite element methods | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Numerisches Verfahren | Numerical analysis | Volatilität | Volatility |
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