Pricing Derivatives Under Levy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach

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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 theory of finite-difference schemes, is new as applied to the Laevy processes in finance, and is herein presented for the first time in a single volume. The results within, developed in a series of research papers, are collected ...

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