"A Finite Difference Scheme for Option Pricing in Jump Diffusion and ..."

Rama Cont, Ekaterina Voltchkova (2005)

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DOI: 10.1137/S0036142903436186

access: closed

type: Journal Article

metadata version: 2020-05-11

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Rama Cont, Ekaterina Voltchkova:
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models. SIAM J. Numer. Anal. 43(4): 1596-1626 (2005)

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