Multidimensional Feller Processes - Computational Methods for Quantitative Finance - page 265

Fig. 16.4 Option prices for
several models for a
European put option with
T = 1and K = 100
Fig. 16.5 Option prices for
several models for an
American put option with
T = 1and K = 100
16.7 Further Reading
Schneider et al. [137] consider the well-posedness and discretization of pricing
equations on variable order spaces. For the multidimensional setting we refer to
Reichmann and Schwab [138] and Reichmann [135]. Extensions of Lévy type mar-
ket models involving local speed functions have also been considered by Carr et
al. [35]. A generalized NIG model was proposed by Barndorff-Nielsen and Leven-
dorski ˇ i[7].