Implicit-explicit numerical schemes for jump-diffusion processes

Calcolo

Volumn 44, Issue 1, 2007, Pages 33-57

  Briani, Maya ^a,b   Natalini, Roberto ^a   Russo, Giovanni ^c  

^a CNR   (Italy)

^b LUISS UNIVERSITY   (Italy)

^c UNIVERSITY OF CATANIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

CLASSIFICATION (OF INFORMATION); COMPUTATIONAL EFFICIENCY; ECONOMICS; FINANCIAL MARKETS; INTEGRODIFFERENTIAL EQUATIONS; RUNGE KUTTA METHODS;

BLACK-SCHOLES EQUATIONS; IMPLICIT-EXPLICIT; INTEGRAL TERMS; JUMP-DIFFUSION PROCESS; NUMERICAL APPROXIMATIONS; NUMERICAL SCHEME; OPTIONS PRICING; PARABOLIC INTEGRO-DIFFERENTIAL EQUATIONS; SIMILAR MODELS; STOCK RETURNS;

INVESTMENTS;

EID: 34047232419     PISSN: 00080624     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10092-007-0128-x     Document Type: Article

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