A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

datePublished

• 2008

description

• kuvitettu

identifier

• propertyID: FI-FENNI value: 899011
• propertyID: FI-MELINDA value: 003022627
• propertyID: skl value: fx899011

isbn

• 9789513933487

isPartOf

• Fennica
• Reports of the Department of Mathematical Information Technology. Series D, Telecommunication

name

• A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

numberOfPages

• 17, [2] s.

P60048

• <http://rdaregistry.info/termList/RDACarrierType/1049>

P60050

• <http://rdaregistry.info/termList/RDAMediaType/1007>

publication

• location: Jyväskylä organizer: Jyväskylän kasvatusopillinen korkeakoulu Jyväskylän yliopisto

publisher

• Jyväskylän kasvatusopillinen korkeakoulu
• Jyväskylän yliopisto