"Fast exponential time integration scheme for option pricing with jumps."

Spike T. Lee, Xin Liu, Hai-Wei Sun (2012)

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DOI: 10.1002/NLA.749

access: closed

type: Journal Article

metadata version: 2020-05-11

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Spike T. Lee, Xin Liu, Hai-Wei Sun:
Fast exponential time integration scheme for option pricing with jumps. Numer. Linear Algebra Appl. 19(1): 87-101 (2012)

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