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Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random.
Shengan Wang
Qing Zhou
Weilin Xiao
Published in:
Commun. Stat. Simul. Comput. (2023)
Keyphrases
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diffusion processes
diffusion process
option pricing
black scholes model
information diffusion
partial differential equations
denoising
markov chain
scale spaces
anisotropic diffusion
total variation
diffusion tensor
nonlinear diffusion
image restoration
structure tensor