IMEX schemes for pricing options under jump-diffusion models (Q2250990): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.apnum.2014.05.007 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2081787832 / rank | |||
Normal rank | |||
Revision as of 23:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IMEX schemes for pricing options under jump-diffusion models |
scientific article |
Statements
IMEX schemes for pricing options under jump-diffusion models (English)
0 references
10 July 2014
0 references
implicit-explicit methods
0 references
linear multistep methods
0 references
jump-diffusion model
0 references
option pricing
0 references
stability
0 references
