Andrey Itkin: 1 book
Pricing Derivatives Under Lévy Models
Modern Finite-Difference and Pseudo-Differential Operators Approach
Language: English
Release Date: February 27, 2017
This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the...
