Fast exponential time integration scheme for option pricing with jumps (Q4909730)
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scientific article; zbMATH DE number 6148040
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| English | Fast exponential time integration scheme for option pricing with jumps |
scientific article; zbMATH DE number 6148040 |
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Fast exponential time integration scheme for option pricing with jumps (English)
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21 March 2013
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option pricing
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jump diffusion models
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matrix exponential
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shift-and-invert Arnoldi method
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