The numerical valuation of options with underlying jumps.
Acta Mathematica Universitatis Comenianae. New Series (1998)
- Volume: 67, Issue: 1, page 69-82
- ISSN: 0862-9544
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topMeyer, G.H.. "The numerical valuation of options with underlying jumps.." Acta Mathematica Universitatis Comenianae. New Series 67.1 (1998): 69-82. <http://eudml.org/doc/120256>.
@article{Meyer1998,
author = {Meyer, G.H.},
journal = {Acta Mathematica Universitatis Comenianae. New Series},
keywords = {Black-Scholes type model; financial mathematics; Brownian motion; random jumps; diffusion equation; Riccati method; method of lines; convergence; free boundary},
language = {eng},
number = {1},
pages = {69-82},
publisher = {Comenius University Press},
title = {The numerical valuation of options with underlying jumps.},
url = {http://eudml.org/doc/120256},
volume = {67},
year = {1998},
}
TY - JOUR
AU - Meyer, G.H.
TI - The numerical valuation of options with underlying jumps.
JO - Acta Mathematica Universitatis Comenianae. New Series
PY - 1998
PB - Comenius University Press
VL - 67
IS - 1
SP - 69
EP - 82
LA - eng
KW - Black-Scholes type model; financial mathematics; Brownian motion; random jumps; diffusion equation; Riccati method; method of lines; convergence; free boundary
UR - http://eudml.org/doc/120256
ER -
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