"Boundary value methods with the Crank-Nicolson preconditioner for pricing ..."

Shu-Ling Yang, Spike T. Lee, Hai-Wei Sun (2011)

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DOI: 10.1080/00207160.2010.524929

access: closed

type: Journal Article

metadata version: 2017-05-28

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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. Int. J. Comput. Math. 88(8): 1730-1748 (2011)

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