Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123)
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scientific article; zbMATH DE number 6521551
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| English | Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models |
scientific article; zbMATH DE number 6521551 |
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Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (English)
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17 December 2015
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option pricing
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jump-diffusion model
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partial integro-differential equation
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finite differences
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spline collocation
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0.8671629428863525
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0.8601297736167908
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0.8591808080673218
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0.8525052666664124
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