IMEX schemes for pricing options under jump-diffusion models
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Publication:2250990
DOI10.1016/j.apnum.2014.05.007zbMath1291.91234OpenAlexW2081787832WikidataQ110224787 ScholiaQ110224787MaRDI QIDQ2250990
Publication date: 10 July 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2014.05.007
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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