An IMEX-Scheme for Pricing Options under Stochastic...

SIAM Journal on Scientific Computing 2014 / 01 Vol. 36; Iss. 5

An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

Salmi, Santtu, Toivanen, Jari, von Sydow, Lina
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Volume:
36
Language:
english
Journal:
SIAM Journal on Scientific Computing
DOI:
10.1137/130924905
Date:
January, 2014
File:
PDF, 287 KB
english, 2014
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