A1 Journal article (refereed)
IMEX schemes for pricing options under jump–diffusion models (2014)

Salmi, S., & Toivanen, J. (2014). IMEX schemes for pricing options under jump–diffusion models. Applied Numerical Mathematics, 84, 33-45. https://doi.org/10.1016/j.apnum.2014.05.007

JYU authors or editors

Publication details

All authors or editors: Salmi, Santtu; Toivanen, Jari

Journal or series: Applied Numerical Mathematics

ISSN: 0168-9274

eISSN: 1873-5460

Publication year: 2014

Volume: 84

Issue number: 0

Pages range: 33-45

Publisher: Elsevier BV * North-Holland

Place of Publication: Amsterdam

Publication country: Netherlands

Publication language: English

DOI: https://doi.org/10.1016/j.apnum.2014.05.007

Publication open access: Not open

Publication channel open access: 

Free keywords: Implicit–explicit methods; linear multistep methods; jump–diffusion model; option pricing; stability

Contributing organizations

Ministry reporting: Yes

Reporting Year: 2014

JUFO rating: 2