"An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with ..."

Santtu Salmi, Jari Toivanen, Lina von Sydow (2014)

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DOI: 10.1137/130924905

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type: Journal Article

metadata version: 2022-03-16

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Santtu Salmi, Jari Toivanen, Lina von Sydow:
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps. SIAM J. Sci. Comput. 36(5) (2014)

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