Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model

By Yang Shu-Ling  

International Journal of Computer Mathematics, Vol. 88, Iss. 8, 2011-05 ,pp. : 1730-1748

Taylor & Francis Ltd

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跳扩散模型下国内外利率随机的双币种期权定价 Pricing Quanto Options in a Jump-Diffusion Model with Stochastic Domestic and Foreign Interest Rates

By 马奕虹   邓国和  

Advances in Applied Mathematics, Vol. 02, Iss. 01, 2013-02 ,pp. : 1-9

汉斯出版社

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Asymptotic analysis of options in a jump-diffusion model with binomial jump size distribution

By Benothman Lamia  

International Journal of Mathematical Modelling and Numerical Optimisation, Vol. 4, Iss. 1, 2013-01 ,pp. : 14-55

Inderscience Publishers

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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

By Liu Jun   Sun Hai-Wei  

International Journal of Computer Mathematics, Vol. 91, Iss. 10, 2014-10 ,pp. : 2163-2184

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Pricing of Swing Options in a Mean Reverting Model with Jumps

By Kjaer Mats  

Applied Mathematical Finance, Vol. 15, Iss. 5-6, 2008-01 ,pp. : 479-502

Routledge Ltd

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