Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Operator splitting schemes for American options under the two-asset Merton jump-diffusion model |
scientific article |
Statements
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (English)
0 references
7 April 2020
0 references
partial integro-differential complementarity problem
0 references
operator splitting methods
0 references
American options
0 references
two-asset Merton jump-diffusion model
0 references
0 references
0 references
