A finite difference scheme for option pricing in jump diffusion and exponential Lévy models

SIAM Journal on Numerical Analysis

Volumn 43, Issue 4, 2005, Pages 1596-1626

  Cont, Rama ^a   Voltchkova, Ekaterina ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Finite difference methods; Jump diffusion models; L vy process; Option pricing; Parabolic integro differential equations; Viscosity solutions

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; ERROR ANALYSIS; NUMERICAL ANALYSIS; THEOREM PROVING;

JUMP-DIFFUSION MODELS; LÉVY PROCESS; OPTION PRICING; PARABOLIC INTEGRO-DIFFERENTIAL EQUATIONS; VISCOSITY SOLUTIONS;

FINITE ELEMENT METHOD;

EID: 33747178638     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142903436186     Document Type: Review

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