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A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump

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Mathematical Methods in the Applied Sciences (2023)
DOI: 10.1002/mma.9682
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A Posteriori Error Control and Adaptivity for the IMEX BDF2 Method for PIDEs with Application to Options Pricing Models

Wansheng Wang, Mengli Mao and Yi Huang
Journal of Scientific Computing 93 (2) (2022)
DOI: 10.1007/s10915-022-02013-4
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