Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models

von Patel, Kuldip Singh
Veröffentlicht in International journal of theoretical and applied finance (2018)

Compact Finite Difference Method for Pricing European and American Options Under Jump-Diffusion Models

von Patel, Kuldip Singh
Veröffentlicht in International Conference on Computational Sciences - Modelling, Computing, and Soft Computing (1. : 2020 : Online) Computational Sciences - Modelling, Computing and Soft Computing (2021)