Rational Krylov methods in exponential integrators for European option pricing (Q5502425): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
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+On Krylov Subspace Approximations to the Matrix Exponential Operator
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+Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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+On RD-rational Krylov approximations to the core-functions of exponential integrators
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+Using the Restricted-denominator Rational Arnoldi Method for Exponential Integrators
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+Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
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