Pascal and Francis Bibliographic Databases

Help

Export

Selection :

Permanent link
http://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=20063081

ACCURATE EVALUATION OF EUROPEAN AND AMERICAN OPTIONS UNDER THE CGMY PROCESS

Author
ALMENDRAL, Ariel; OOSTERLEE, Cornelis W
Source

SIAM journal on scientific computing (Print). 2008, Vol 29, Num 1, pp 93-117, 25 p ; ref : 38 ref

CODEN
SJOCE3
ISSN
1064-8275
Scientific domain
Computer science; Mathematics
Publisher
Society for Industrial and Applied Mathematics, Philadelphia, PA
Publication country
United States
Document type
Article
Language
English
Author keyword
45D05 65R20 91B28 collocation method option pricing; 45K05 partial integro-differential equations
Keyword (fr)
Analyse Fourier Analyse numérique Calcul scientifique Equation différentielle Equation intégrodifférentielle Finance Intégration Méthode collocation Méthode différence finie Méthode discrétisation Option américaine Transformation Fourier rapide Transformation Fourier 28XX 34XX 43A38 58C20
Keyword (en)
Fourier analysis Numerical analysis Scientific computation Differential equation Integrodifferential equation Finance Integration Collocation method Finite difference method Discretization method American option Fast Fourier transformation Fourier transformation
Keyword (es)
Análisis Fourier Análisis numérico Computación científica Ecuación diferencial Ecuación integrodiferencial Finanzas Integración Método colocación Método diferencia finita Método discretización Opción americana Transformación Fourier rápida Transformación Fourier
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E07 Ordinary differential equations

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02G Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds / 001A02G04 Global analysis, analysis on manifolds

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I02 Methods of scientific computing (including symbolic computation, algebraic computation)

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
20063081

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

Access to the document

Searching the Web