制度转换Kou跳跃扩散模型下欧式期权定价的Crank-Nicholson拟合有限体积方法的收敛性

IF 1.5 4区 工程技术 Q2 MATHEMATICS, APPLIED
X. Gan, Junfeng Li
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引用次数: 0

摘要

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On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
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来源期刊
Advances in Applied Mathematics and Mechanics
Advances in Applied Mathematics and Mechanics MATHEMATICS, APPLIED-MECHANICS
CiteScore
2.60
自引率
7.10%
发文量
65
审稿时长
6 months
期刊介绍: Advances in Applied Mathematics and Mechanics (AAMM) provides a fast communication platform among researchers using mathematics as a tool for solving problems in mechanics and engineering, with particular emphasis in the integration of theory and applications. To cover as wide audiences as possible, abstract or axiomatic mathematics is not encouraged. Innovative numerical analysis, numerical methods, and interdisciplinary applications are particularly welcome.
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