Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models

Mathematics

• Option Pricing 100%
• Discretization 100%
• Leading Order Term 100%
• Approximation Error 100%
• Difference Scheme 100%
• Error Estimate 100%
• Error Term 50%
• Exponential Growth 50%
• Lvy Process 50%
• Grid Size 50%
• Option Price 50%
• Integro-Partial Differential Equation 50%
• Main Result 50%
• Diffusion Approximation 50%
• Growth Condition 50%

Keyphrases

• Space Discretization 100%
• Computable Error Estimates 100%
• Cutting Parameters 50%
• Infinite Jump 50%
• Grid Size 50%
• Option Price 50%
• Partial Integro-differential Equation 50%
• Lipschitz Continuity 50%