A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL |
JEONG, DARAE
(Department of Mathematics, Korea University)
KIM, YOUNG ROCK (Major in Mathematics Education, Hankuk University of Foreign Studies) LEE, SEUNGGYU (Department of Mathematics, Korea University) CHOI, YONGHO (Department of Mathematics, Korea University) LEE, WOONG-KI (Business School, Korea University) SHIN, JAE-MAN (Department of Financial Engineering, Korea University) AN, HYO-RIM (Department of Financial Engineering, Korea University) HWANG, HYEONGSEOK (Department of Financial Engineering, Korea University) KIM, HJUNSEOK (Department of Mathematics, Korea University) |
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