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Operator splitting schemes for American options under the two-asset Merton jump-diffusion model.
Lynn Boen
Karel J. in 't Hout
Published in:
CoRR (2019)
Keyphrases
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operator splitting
diffusion model
partial differential equations
anisotropic diffusion
convex optimization
total variation
image denoising
diffusion process
information diffusion
image enhancement
diffusion tensor
markov chain
level set
image data
image processing
diffusion equation
split bregman
multiscale