High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models.

Autor: Jingtang Ma1 mjt@swufe.edu.cn, Han Wang1 117020291003@smail.swufe.edu.cn, Zhiqiang Zhou2 zqzhouhu@yahoo.com, Zhijun Tan3 tzhij@mail.sysu.edu.cn
Zdroj: Numerical Mathematics: Theory, Methods & Applications. May2020, Vol. 13 Issue 2, p497-515. 19p.
Databáze: Academic Search Ultimate