Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Andrey Itkin () and Peter Carr

Computational Economics, 2012, vol. 40, issue 1, 63-104

Keywords: Pseudo-parabolic equations; Jump-diffusion; Finite-difference scheme; Numerical method; The Green function; General stable tempered process; 60J75; 35M99; 65L12; 65L20; 34B27; 65T50 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Working Paper: Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (2010)
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DOI: 10.1007/s10614-011-9269-8

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