Now showing items 1-1 of 1

  • Contour integral method for European options with jumps 

    Ngounda, Edgard; Patidar, Kailash C.; Pindza, Edson (Elsevier, 2013)
    We develop an efficient method for pricing European options with jump on a single asset. Our approach is based on the combination of two powerful numerical methods, the spectral domain decomposition method and the Laplace ...