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Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model Journal article
Shu-Ling Yang, Spike T. Lee, Hai-Wei Sun. Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model[J]. International Journal of Computer Mathematics, 2011, 88(8), 1730-1748.
Authors:  Shu-Ling Yang;  Spike T. Lee;  Hai-Wei Sun
Favorite | TC[WOS]:4 TC[Scopus]:4 | Submit date:2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix