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SUN HAIWEI [1]
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2012 [1]
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英語English [1]
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Numerical Linear... [1]
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Fast exponential time integration scheme for option pricing with jumps
Journal article
Lee,Spike T., Liu,Xin, Sun,Hai Wei. Fast exponential time integration scheme for option pricing with jumps[J]. Numerical Linear Algebra with Applications, 2012, 19(1), 87-101.
Authors:
Lee,Spike T.
;
Liu,Xin
;
Sun,Hai Wei
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TC[WOS]:
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TC[Scopus]:
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Submit date：2019/05/27
Generating Function
Jump-diffusion
Option Pricing
Shift-and-invert Arnoldi Method
Toeplitz Matrix Exponential
