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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.
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: | 02 Apr 2021 15:35 |
| OAI Identifier: | oai:tse-fr.eu:10492 |
| URI: | https://publications.ut-capitole.fr/id/eprint/2315 |
