A finite difference scheme for option pricing in jump diffusion and exponential Lévy models

Cont, Rama and Voltchkova, Ekaterina (2005) A finite difference scheme for option pricing in jump diffusion and exponential Lévy models. SIAM Journal on Numerical Analysis (SINUM), 43 (n°4). pp. 1596-1626.

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Official URL: http://tse-fr.eu/pub/10492
Item Type: Article
Language: English
Date: 2005
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse), TSM Research (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:53
Last Modified: 05 Apr 2018 12:56
OAI ID: oai:tse-fr.eu:10492
URI: http://publications.ut-capitole.fr/id/eprint/2315

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