High-order time stepping scheme for pricing American option under Bates model (Q5031791): Difference between revisions

@@ Property / author @@
-Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
-Normal rank
@@ Property / author @@
+Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2017.1420785
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+W2791950136
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@@ Property / cites work @@
+Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
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+Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
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+A fast numerical method to price American options under the Bates model
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+A new class of time discretization schemes for the solution of nonlinear PDEs
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+The Pricing of Options and Corporate Liabilities
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@@ links / mardi / name / links / mardi / name @@
+Publication:5031791