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Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models.

Mohan K. KadalbajooLok Pati TripathiAlpesh Kumar
Published in: J. Sci. Comput. (2015)
Keyphrases
  • reinforcement learning
  • objective function
  • long term
  • diffusion model
  • option pricing
  • diffusion models