AN EFFICIENT AND ROBUST NUMERICAL METHOD FOR OPTION PRICES IN A TWO-ASSET JUMP-DIFFUSION MODEL |
Lee, Chaeyoung
(Department of Mathematics, Korea University)
Wang, Jian (Department of Mathematics, Korea University) Jang, Hanbyeol (Department of Financial Engineering, Korea University) Han, Hyunsoo (Department of Financial Engineering, Korea University) Lee, Seongjin (Department of Financial Engineering, Korea University) Lee, Wonjin (Department of Financial Engineering, Korea University) Yang, Kisung (School of Finance, College of Business Administration) Kim, Junseok (Department of Mathematics, Korea University) |
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