Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (Q6144313)

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scientific article; zbMATH DE number 7784427
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Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
scientific article; zbMATH DE number 7784427

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    Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (English)
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    5 January 2024
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    operator splitting
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    jump-diffusion
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    American options
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    linear complementarity problems
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    stability analysis
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    error analysis
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