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Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model Journal article
Lee S.T., Sun H.-W.. Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Lee S.T.;  Sun H.-W.
Favorite | TC[WOS]:20 TC[Scopus]:25 | Submit date：2019/02/13
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differential Equation  Toeplitz Matrix  
Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model Journal article
Spike T. Lee, Hai‐Wei Sun. Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Spike T. Lee;  Hai‐Wei Sun
Favorite | TC[WOS]:20 TC[Scopus]:25  IF:2.1/2.8 | Submit date：2019/07/30
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differentialequation  Toeplitz Matrix