"Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou ..."

Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar (2015)

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DOI: 10.1007/S10915-015-0001-Z

access: closed

type: Journal Article

metadata version: 2020-10-26

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Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar:
Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models. J. Sci. Comput. 65(3): 979-1024 (2015)

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