Fast exponential time integration scheme for option pricing with jumps (Q4909730): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q283283 |
Changed an Item |
||
| Property / author | |||
| Property / author: Hai-Wei Sun / rank | |||
Normal rank | |||
Revision as of 15:00, 12 February 2024
scientific article; zbMATH DE number 6148040
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast exponential time integration scheme for option pricing with jumps |
scientific article; zbMATH DE number 6148040 |
Statements
Fast exponential time integration scheme for option pricing with jumps (English)
0 references
21 March 2013
0 references
option pricing
0 references
jump diffusion models
0 references
matrix exponential
0 references
shift-and-invert Arnoldi method
0 references
