Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
type: Item
instance of: scholarly article
title: Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
zbMATH Open document ID: 1331.91191
author: M. K. Kadalbajoo
author: Lok Pati Tripathi
author: Alpesh Kumar
published in: Journal of Scientific Computing
publication date: 2015-12-17T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6521551
zbMATH Keywords: option pricing
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: partial integro-differential equation
zbMATH Keywords: finite differences
zbMATH Keywords: spline collocation
MaRDI profile type: Publication
full work available at URL: s10915-015-0001-z
OpenAlex ID: W2061802455
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DOI: 10.1007/S10915-015-0001-Z
description: scientific article; zbMATH DE number 6521551