Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models |
scientific article |
Statements
Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (English)
0 references
17 December 2015
0 references
option pricing
0 references
jump-diffusion model
0 references
partial integro-differential equation
0 references
finite differences
0 references
spline collocation
0 references
