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SUN HAIWEI [1]
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2012 [1]
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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
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Submit date：2019/07/30
Fourth-order Compact Scheme
Jump-diffusion
Local Mesh Refinement
Partial Integro-differentialequation
Toeplitz Matrix
