Numerical Analysis of Additive, Levy and Feller Processes with Applications to Option Pricing
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Author / Producer
Date
2010
Publication Type
Book Chapter
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
Permanent link
Publication status
published
Editor
Book title
Levy Matters I: Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance
Journal / series
Volume
2001
Pages / Article No.
137 - 196
Publisher
Springer
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Dirichlet forms; Feller processes; Kolmogorov equations; Levy processes; Matrix compression; Option pricing; Sato processes; Wavelet discretization
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph