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Browsing "Department of Mathematics (수학과)" by  Subjectjump-diffusion model

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Showing results 1 to 3 of 3
Article
A SECOND-ORDER FINITE DIFFERENCE METHOD FOR OPTION PRICING UNDER JUMP-DIFFUSION MODELS

, 2011-12

Article
Convergence of the binomial tree method for Asian options in jump-diffusion modelsSCIESCOPUS

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, vol. 330, no. 1, page. 10 - 23, 2007-06-01

Article
SECOND-ORDER FINITE DIFFERENCE METHOD FOR OPTION PRICING UNDER JUMP-DIFFUSION MODELSSCIESCOPUS

SIAM JOURNAL ON NUMERICAL ANALYSIS, vol. 49, no. 6, page. 2598 - 2617, 2011-01

1
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