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Evaluation finite moment log-stable option pricing by a spectral method
Xu Guo
*
,
Leevan Ling
*
Corresponding author for this work
Department of Mathematics
Research output
:
Contribution to journal
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Journal article
›
peer-review
4
Citations (Scopus)
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Dive into the research topics of 'Evaluation finite moment log-stable option pricing by a spectral method'. Together they form a unique fingerprint.
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Keyphrases
Spectral Method
100%
Option Pricing
100%
Partial Integral Differential Equations
100%
Finite Moments
100%
Pricing Model
66%
Black-Scholes
66%
Gauss-Jacobi
66%
Log-returns
66%
Two Dimensional
33%
Computational Cost
33%
First-order
33%
Diffusion Model
33%
Numerical Algorithms
33%
Discretize
33%
Diffusion Equation
33%
Jacobi Spectral Collocation Method
33%
Statistical Properties
33%
Finite Difference Scheme
33%
Global Character
33%
Global Behavior
33%
Financial Model
33%
Fractional Diffusion
33%
Jacobi Method
33%
Stable Process
33%
Mathematical Finance
33%
Geometric Brownian Motion
33%
Mathematics
Differential Equation
100%
Spectral Method
100%
Option Pricing
100%
Gaussian Distribution
33%
Diffusion Equation
33%
Finite Difference Method
33%
Computational Cost
33%
Diffusion Model
33%
Numerical Algorithm
33%
Statistical Property
33%
Fractional Order
33%
Log-Stable Process
33%
Mathematical Finance
33%
Jacobi Method
33%
Geometric Brownian Motion
33%