Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Andrey Itkin (School of Engineering, New York University)
| Year of publication: |
March 2016
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| Authors: | Itkin, Andrey |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 3, p. 29-70
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| Subject: | Jump diffusion | partial integro-differential equation (PIDE) | splitting | matrix exponential | unconditionally stable schemes | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011563465