A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

Rama Cont, Ekaterina Voltchkova. A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models. SIAM J. Numerical Analysis, 43(4):1596-1626, 2005. [doi]

Abstract

Abstract is missing.