Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps

DOI10.3233/AF-140041zbMath1396.91800arXiv1405.6111MaRDI QIDQ4586441

Andrey Itkin

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.6111

zbMATH Keywords

splittingmatrix exponentialjump-diffusionunconditionally stable schemesPIDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60)

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