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

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Revision as of 17:59, 5 March 2024

scientific article; zbMATH DE number 6148040
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Fast exponential time integration scheme for option pricing with jumps
scientific article; zbMATH DE number 6148040

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    Fast exponential time integration scheme for option pricing with jumps (English)
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    21 March 2013
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    option pricing
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    jump diffusion models
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    matrix exponential
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    shift-and-invert Arnoldi method
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