Open AccessIMEX Third-Order SBDF Scheme for Pricing American Options under Kou’s Jump-Diffusion Models
Author(s) -
翔宇 贾
Publication year - 2018
Publication title -
advances in applied mathematics
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2324-7991
pISSN - 2324-8009
DOI - 10.12677/aam.2018.71014
Subject(s) - jump diffusion , order (exchange) , diffusion , jump , scheme (mathematics) , third order , mathematical economics , economics , statistical physics , mathematics , econometrics , computer science , physics , mathematical analysis , political science , thermodynamics , finance , quantum mechanics , law
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom