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"A front-fixing ETD numerical method for solving jump-diffusion American ..."

Rafael Company, Vera N. Egorova, Lucas Jódar (2021)

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DOI: 10.1016/J.MATCOM.2020.07.015

access: closed

type: Journal Article

metadata version: 2024-05-07

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Rafael Company, Vera N. Egorova, Lucas Jódar:
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems. Math. Comput. Simul. 189: 69-84 (2021)

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