Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model (Q3008377): Difference between revisions

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-Hai-Wei Sun
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+Hai-Wei Sun
@@ Property / author: Hai-Wei Sun / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2010.524929
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@@ Property / OpenAlex ID @@
+W1979974579
@@ Property / OpenAlex ID: W1979974579 / rank @@
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@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
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@@ Property / cites work @@
+A Circulant Preconditioner for the Systems of LMF-Based ODE Codes
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q4393432
@@ Property / cites work: Q4393432 / rank @@
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+Conjugate Gradient Methods for Toeplitz Systems
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+An Introduction to Iterative Toeplitz Solvers
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+Strang-type preconditioners for systems of LMF-based ODE codes
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+Robust numerical methods for contingent claims under jump diffusion processes
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+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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+High order ADI method for solving unsteady convection-diffusion problems
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+Option pricing when underlying stock returns are discontinuous
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+Finite element solution of diffusion problems with irregular data
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+Numerical pricing of options using high-order compact finite difference schemes
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+High-order compact scheme with multigrid local mesh refinement procedure for convection-diffusion problems.
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