Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

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Publication:1986143

DOI10.1016/j.apnum.2020.02.004zbMath1444.91207arXiv1912.06809OpenAlexW3006534716MaRDI QIDQ1986143

Lynn Boen, Karel J. in 't Hout

Publication date: 7 April 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.06809




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