Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143)
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scientific article; zbMATH DE number 7188137
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| English | Operator splitting schemes for American options under the two-asset Merton jump-diffusion model |
scientific article; zbMATH DE number 7188137 |
Statements
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (English)
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7 April 2020
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partial integro-differential complementarity problem
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operator splitting methods
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American options
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two-asset Merton jump-diffusion model
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0.9125819206237792
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0.8424826264381409
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0.8396388292312622
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0.8161698579788208
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