On the numerical evaluation of option prices in jump diffusion processes

Mathematics

• Diffusion Process 100%
• Option Price 100%
• Differential Equation 50%
• Partial Differential Equation 50%
• Ordinary Differential Equation 50%
• Numerical Experiment 50%
• Parabolic 50%
• Jump Process 50%
• Integro-Partial Differential Equation 50%
• Numerical Methods 50%
• Computational Domain 50%
• Fair Price 50%

Keyphrases

• Financial Options 50%
• Method Fourier 50%
• Fast Fourier Methods 50%