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A new high-order compact scheme for American options under jump-diffusion processes.
Radha Krishn Coonjobeharry
Désiré Yannick Tangman
Muddun Bhuruth
Published in:
Int. J. Bus. Intell. Data Min. (2013)
Keyphrases
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high order
diffusion processes
partial differential equations
higher order
diffusion process
pairwise
low order
denoising
lower order
scale spaces
information diffusion
bayesian logistic regression
anisotropic diffusion
markov random field
tensor analysis
diffusion equation
low rank
feature vectors