IMEX schemes for pricing options under jump-diffusion models

By Santtu Salmi, Jari Toivanen. 2014

75 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/93714650a0bfd26e5b3c97e18d2d47ff1d05f7c8