Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models

Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models

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The evolution of the price of two financial assets may be modeled by correlated geometric Brownian motion with additional, independent, finite activity jumps. Similarly, the evolution of the price of one financial asset may be modeled by a stochastic volatility process and finite activity jumps. Th...

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Bibliographic Details
Main Author: Clift, Simon Sivyer
Language:en
Published: 2007
Subjects:
financial option pricing
jump diffusion
multi-factor
partial integro-differential equation
monotone method
Computer Science
Online Access:http://hdl.handle.net/10012/3385

Internet

http://hdl.handle.net/10012/3385

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