Fast exponential time integration scheme and extrapolation method for pricing option with jump diffusions

Fast exponential time integration scheme and extrapolation method for pricing option with jump diffusions

University of Macau === Faculty of Science and Technology === Department of Mathematics

Bibliographic Details
Main Author: Liu, Xin
Language:English
Published: University of Macau 2010
Subjects:
University of Macau > Dissertations
澳門大學 > 論文
Options (Finance) > Mathematical models
Options (Finance) > Prices > Mathematical models
Pricing > Mathematical models
Mathematics > Department of Mathematics
Online Access:http://umaclib3.umac.mo/record=b2148264

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