A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes (Q2931955)
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scientific article; zbMATH DE number 6375003
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| English | A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes |
scientific article; zbMATH DE number 6375003 |
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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes (English)
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28 November 2014
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domain decomposition
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improved fast Gauss transform
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sinc method
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Toeplitz
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integro-differential equations
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0.8930527567863464
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0.8413861393928528
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0.8258534073829651
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0.8197574019432068
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0.8165517449378967
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