Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
Work
Year: 2020
Type: article
Source: Applied Numerical Mathematics
Authors Lynn Boen, Karel J. in ’t Hout
Institutions ZNA Middelheim Hospital, University of Antwerp
Cites: 38
Cited by: 16
Related to: 10
FWCI: 2.829
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green