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Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model.
Deepak Kumar Yadav
Akanksha Bhardwaj
Alpesh Kumar
Published in:
Comput. Appl. Math. (2024)
Keyphrases
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model selection
three dimensional
pairwise
markov chain
random walk
diffusion model
option pricing