A combined compact difference scheme for option pricing in the exponential jump-diffusion models
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Publication:2142005
DOI10.1186/s13662-019-2431-7zbMath1487.91161OpenAlexW2993437147WikidataQ115518547 ScholiaQ115518547MaRDI QIDQ2142005
Rahman Akbari, Mohammad Taghi Jahandideh, Reza Mokhtari
Publication date: 25 May 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-019-2431-7
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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