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"A Second-Order Tridiagonal Method for American Options under ..."

YongHoon Kwon, Younhee Lee (2011)

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DOI: 10.1137/100806552

access: closed

type: Journal Article

metadata version: 2020-07-30

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YongHoon Kwon, Younhee Lee:
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models. SIAM J. Sci. Comput. 33(4): 1860-1872 (2011)

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