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"Operator splitting schemes for the two-asset Merton jump-diffusion model."

Lynn Boen, Karel J. in 't Hout (2021)

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DOI: 10.1016/J.CAM.2019.06.025

access: closed

type: Journal Article

metadata version: 2021-02-11

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Lynn Boen, Karel J. in 't Hout:
Operator splitting schemes for the two-asset Merton jump-diffusion model. J. Comput. Appl. Math. 387: 112309 (2021)

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