Numerical study for European option pricing equations with non-levy jumps
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DOI: 10.1080/00036811.2019.1646252
Abstract: ABSTRACT We numerically study partial integro-differential equations that arise from the pricing of options under jump-diffusion processes using finite difference methods. Two kinds of jump-diffusion models are considered: one with non-Levy type feedback jumps and… read more here.
Keywords: study european; non levy; numerical study; pricing ... See more keywords