A Fast And Robust Numerical Method For Option Prices And Greeks In A Jump Diffusion Model
Work
Year: 2015
Type: article
Abstract: We propose a fast and robust finite difference method for Merton``s jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so tha... more
Source: The Pure and Applied Mathematics
Cites: 12
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: gold