Multidimensional Feller Processes - Computational Methods for Quantitative Finance - page 263

Fig. 16.2 Stiffness and Mass
matrices for the
Black-Scholes model with
σ = 0 . 3and r = 0
by the rates of exponential decay β + and β − . Fast decaying tails, i.e., large β +
and β − may lead to larger constants. Figure 16.4 shows the price of a European
put option for several Lévy processes and for one Feller process. In the Feller case