Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach.
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorizat...
| Publicado en: | Scientific World Journal pp. 963625 - 963626 |
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| Autor principal: | |
| Formato: | Journal Article |
| Publicado: |
Wiley-Blackwell
2013
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| Acceso en línea: | Ver este registro en EBSCOhost |