Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40819-017-0369-6/fulltext.html
Reference32 articles.
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3. Kou, S.G.: A jump-diffusion model for option pricing. Manag. Sci. 48, 1086–1101 (2002)
4. Meitz, H.L., Fasel, H.F.: A compact-difference scheme for the Navier-Stokes equations in vorticity-velocity formulation. J. Comput. Phys. 157, 371–403 (2000)
5. Sengupta, T.K., Ganeriwal, G., De, S.: Analysis of central and upwind compact schemes. J. Comput. Phys. 192, 677–694 (2003)
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