IMEX schemes for pricing options under jump-diffusion models (Q2250990): Difference between revisions

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+https://doi.org/10.1016/j.apnum.2014.05.007
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+W2081787832
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@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
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+Implicit-explicit numerical schemes for jump-diffusion processes
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+Financial Modelling with Jump Processes
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
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+A Jump-Diffusion Model for Option Pricing
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+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
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+Option pricing when underlying stock returns are discontinuous
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+Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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