Multilevel path simulation to jump-diffusion process with superlinear drift
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis
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1. Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems;Journal of Computational Mathematics;2024-06
2. On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets;Computational Economics;2023-10-11
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