Open AccessApplication of the improved fast Gauss transform to option pricing under jump-diffusion processes
Author(s) -
Takayuki Sakuma,
Yuji Yamada
Publication year - 2014
Publication title -
the journal of computational finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.677
H-Index - 14
eISSN - 1755-2850
pISSN - 1460-1559
DOI - 10.21314/jcf.2014.276
Subject(s) - computational finance , jump diffusion , computation , valuation of options , gauss , fast multipole method , jump , computer science , kernel (algebra) , mathematics , computational complexity theory , mathematical optimization , diffusion , multipole expansion , algorithm , econometrics , physics , statistics , quantum mechanics , thermodynamics , combinatorics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom