Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609)
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scientific article; zbMATH DE number 5318784
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| English | Exponential time integration and Chebychev discretisation schemes for fast pricing of options |
scientific article; zbMATH DE number 5318784 |
Statements
Exponential time integration and Chebychev discretisation schemes for fast pricing of options (English)
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1 September 2008
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option pricing
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exponential time differencing
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spectral methods
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jump-diffusion processes
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integro-differential equations
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0.8573211431503296
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0.8322554230690002
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0.8099993467330933
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0.803647518157959
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