DG Method for Pricing European Options under Merton Jump-Diffusion Model
Date
2019
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Institute of Mathematics, Czech Academy of Sciences
Abstract
Description
Subject(s)
option pricing, Merton jump-diffusion model, integro-differential equation, discontinuous Galerkin method, semi-implicit discretization, a priori error estimates
Citation
ISSN
0862-7940