Contour integral method for European options with jumps.

Edgard Ngounda Kailash C. Patidar Edson Pindza

Published in: Commun. Nonlinear Sci. Numer. Simul. (2013)

Keyphrases

computational cost
significant improvement
experimental evaluation
synthetic data
multiscale
cost function
dynamic programming
active contours
clustering method
image processing
objective function
preprocessing
pairwise
prior knowledge
input data