Numerical Analysis of Additive, Levy and Feller Processes with Applications to Option Pricing
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Date
2010Type
- Book Chapter
ETH Bibliography
yes
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Publication status
publishedBook title
Levy Matters I: Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in FinanceJournal / series
Lecture Notes in MathematicsVolume
Pages / Article No.
Publisher
SpringerSubject
Dirichlet forms; Feller processes; Kolmogorov equations; Levy processes; Matrix compression; Option pricing; Sato processes; Wavelet discretizationOrganisational unit
03435 - Schwab, Christoph / Schwab, Christoph
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ETH Bibliography
yes
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