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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes.
Z. Ahmadi
S. Mohammad Hosseini
Ali Foroush Bastani
Published in:
J. Comput. Appl. Math. (2021)
Keyphrases
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diffusion processes
option pricing
diffusion process
information diffusion
black scholes
denoising
partial differential equations
decision analysis
image features
steady state
historical data
scale spaces
structure tensor
real option
black scholes model