Three-Time Levels Compact Scheme for Pricing European Options Under Regime Switching Jump-Diffusion Models
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Publisher
Springer Nature Singapore
Link
https://link.springer.com/content/pdf/10.1007/978-981-99-3080-7_27
Reference12 articles.
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5. Tankov P, Voltchkova E (2009) Jump-diffusion models: a practitioner’s guide. Banque et March$$\acute{e}$$s 99
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1. Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models;Journal of Applied Mathematics and Computing;2024-03-07
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