ESAIM: Mathematical Modelling and Numerical Analysis (ESAIM: M2AN)

An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function

Wansheng Wang, Mengli Mao and Zheng Wang

ESAIM: M2AN, 55 3 (2021) 913-938

Published online: 05 May 2021

DOI: 10.1051/m2an/2021012

Wansheng Wang

Mengli Mao

Zheng Wang

Articles written by ALL the selected authors (AND)

Articles written by ANY OF the selected authors (OR)