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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| English | 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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0.8225444555282593
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0.8126372694969177
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0.8031088709831238
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0.7984328866004944
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