Robust numerical methods for contingent claims under jump diffusion processes

IMA Journal of Numerical Analysis

Volumn 25, Issue 1, 2005, Pages 87-112

  D'Halluin, Y ^a   Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Implicit discretization; Iterative solution; Jump diffusion

Indexed keywords

COSTS; DIFFUSION; ECONOMICS; FAST FOURIER TRANSFORMS; ITERATIVE METHODS;

DISCRETIZATIONS; FAST FOURIER TRANSFORM METHODS; FIXED POINT ITERATION; ITERATIVE SOLUTIONS; JUMP DIFFUSION; JUMP-DIFFUSION PROCESS; OPTION PRICING MODELS; STABILITY AND CONVERGENCE;

NUMERICAL METHODS;

EID: 11444268256     PISSN: 02724979     EISSN: None     Source Type: Journal    
DOI: 10.1093/imanum/drh011     Document Type: Article

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