List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| High order ADI splitting scheme for stochastic volatility model with jump Mathematica Numerica Sinica | 2025-01-17 | Paper |
| On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance SIAM Journal on Numerical Analysis | 2019-09-02 | Paper |
| Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions Journal of Computational and Applied Mathematics | 2019-07-26 | Paper |
| An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models Mathematical Methods in the Applied Sciences | 2019-06-06 | Paper |
| Fast numerical valuation of options with jump under Merton's model Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
Research outcomes over time
This page was built for person: Yingzi Chen
