Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps (Q4586441)
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scientific article; zbMATH DE number 6935940
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps |
scientific article; zbMATH DE number 6935940 |
Statements
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps (English)
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13 September 2018
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jump-diffusion
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PIDE
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splitting
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matrix exponential
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unconditionally stable schemes
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