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Pricing derivatives under Lévy models: modern finite-difference and pseudo-differential operators approach
This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the t...
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| Lenguaje: | eng |
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Springer
2017
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| Acceso en línea: | https://dx.doi.org/10.1007/978-1-4939-6792-6 http://cds.cern.ch/record/2253928 |