Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609): Difference between revisions

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Latest revision as of 15:50, 28 June 2024

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Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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    Exponential time integration and Chebychev discretisation schemes for fast pricing of options (English)
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    1 September 2008
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    option pricing
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    exponential time differencing
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    spectral methods
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    jump-diffusion processes
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    integro-differential equations
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