Fast exponential time integration scheme for option pricing with jumps (Q4909730): Difference between revisions

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-Hai-Wei Sun
@@ Property / author: Hai-Wei Sun / rank @@
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+Hai-Wei Sun
@@ Property / author: Hai-Wei Sun / rank @@
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@@ Property / describes a project that uses @@
+MATLAB expm
@@ Property / describes a project that uses: MATLAB expm / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1002/nla.749
@@ Property / full work available at URL: https://doi.org/10.1002/nla.749 / rank @@
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+W2007098018
@@ Property / OpenAlex ID: W2007098018 / rank @@
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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 @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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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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+Robust numerical methods for contingent claims under jump diffusion processes
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+Numerical valuation of options with jumps in the underlying
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+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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+RD-rational approximations of the matrix exponential
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+An Introduction to Iterative Toeplitz Solvers
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+The Scaling and Squaring Method for the Matrix Exponential Revisited
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
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