A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models.
YongHoon KwonYounhee LeePublished in: SIAM J. Numer. Anal. (2011)
Keyphrases
- option pricing
- diffusion models
- finite difference method
- partial differential equations
- diffusion model
- information diffusion
- heat equation
- anisotropic diffusion
- finite difference
- numerical methods
- diffusion process
- stock price
- social networks
- decision analysis
- finite element method
- higher order
- finite element model
- black scholes model
- real option
- markov chain
- image denoising
- viral marketing
- high order
- steady state
- image processing
- level set
- text classification
- machine learning
- multiscale
- differential equations
- finite element
- image enhancement
- pairwise
- denoising
- computer vision
- diffusion tensor