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SUN HAIWEI [1]
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2014 [1]
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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
Journal article
Liu,Jun, Sun,Hai Wei. A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes[J]. International Journal of Computer Mathematics, 2014, 91(10), 2163-2184.
Authors:
Liu,Jun
;
Sun,Hai Wei
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Submit date：2019/05/27
Domain Decomposition
Improved Fast Gauss Transform
Integro-differential Equations
Sinc Method
Toeplitz
