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Adaptive finite differences and IMEX time-stepping to price options under Bates model
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
2015 (English)In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 92, 2515-2529 p.Article in journal (Refereed) Published
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2015. Vol. 92, 2515-2529 p.
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Computational Mathematics
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URN: urn:nbn:se:uu:diva-262065DOI: 10.1080/00207160.2015.1072173ISI: 000363753800010OAI: oai:DiVA.org:uu-262065DiVA: diva2:852147
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Available from: 2015-09-21 Created: 2015-09-08 Last updated: 2017-12-04Bibliographically approved

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von Sydow, Lina

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