Implicit–explicit numerical schemes for jump–diffusion processes

ISSN： 0008-0624

Source： CALCOLO, Vol.44, Iss.1, 2007-03, pp. : 33-57

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

High-order explicit-implicit numerical methods for nonlinear anomalous diffusion equations

By Zeng F. Li C. Liu F.

The European Physical Journal Special Topics, Vol. 222, Iss. 8, 2013-09 ,pp. : 1885-1900

Springer Publishing Company

Access to resources Recommend Favorite

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

By Chiarella Carl Ziogas Andrew

Applied Mathematical Finance, Vol. 16, Iss. 1, 2009-01 ,pp. : 37-79

Routledge Ltd

Access to resources Recommend Favorite

Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes

By Biswas Imran

Applied Mathematics and Optimization, Vol. 62, Iss. 1, 2010-08 ,pp. : 47-80

Springer Publishing Company

Access to resources Recommend Favorite

A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

By Liu Jun Sun Hai-Wei

International Journal of Computer Mathematics, Vol. 91, Iss. 10, 2014-10 ,pp. : 2163-2184

Taylor & Francis Ltd

Access to resources Recommend Favorite

Extrapolation-based implicit-explicit general linear methods

By Cardone Angelamaria Jackiewicz Zdzislaw Sandu Adrian Zhang Hong

Numerical Algorithms, Vol. 65, Iss. 3, 2014-03 ,pp. : 377-399

Springer Publishing Company

Access to resources Recommend Favorite