Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps (Q4586441)
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scientific article; zbMATH DE number 6935940
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| English | Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps |
scientific article; zbMATH DE number 6935940 |
Statements
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps (English)
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13 September 2018
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jump-diffusion
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PIDE
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splitting
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matrix exponential
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unconditionally stable schemes
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0.86515534
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0.8584698
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0.85670626
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0.85216075
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0.8445033
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0.84263754
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0.8425185
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