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AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL
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이채영; Jian Wang; 장한별; 한현수; 이성진; 이원진;
양기성
; 김준석
Article
Issue Date
2020
Citation
순수 및 응용수학, v.27, no.4, pp.231 - 249
Publisher
한국수학교육학회
1
Discover
Author
Jian Wang
1
김준석
1
이성진
1
이채영
1
장한별
1
한현수
1
Subject
derivative securities.
1
implicit finite difference method
1
jump-diffusion
1
non-uniform grid
1
Simpson’s rule
1
Date Issued
2020
1
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Article
1
Language
English
1
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순수 및 응용수학
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