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Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models
Kadalbajoo, Mohan K., Tripathi, Lok Pati, Kumar, AlpeshVolume:
65
Language:
english
Journal:
Journal of Scientific Computing
DOI:
10.1007/s10915-015-0001-z
Date:
December, 2015
File:
PDF, 2.46 MB
english, 2015