Fourth Order Compact Boundary Value Method for Option Pricing with Jumps
Author:
Publisher
Global Science Press
Subject
Applied Mathematics,Mechanical Engineering
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep;International Journal of Numerical Analysis and Modeling;2023-06
2. Dual algorithm for truncated fractional variation based image denoising;International Journal of Computer Mathematics;2019-09-19
3. An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids;Computational Economics;2018-06-02
4. Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models;International Journal of Applied and Computational Mathematics;2017-05-25
5. A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes;International Journal of Computer Mathematics;2014-03-26
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