Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Source
The journal of computational finance - ISSN 1460-1559-26:4 (2023) p. 101-137
Efficient numerical approximation of solutions to high-dimensional partial differential equations : with applications in option pricing and scattering problems
Source
Antwerpen, Universiteit Antwerpen, Faculteit Wetenschappen, Departement Wiskunde, 2022,xxiv, 204 p.
Numerical valuation of American basket options via partial differential complementarity problems
Source
Mathematics - ISSN 2227-7390-9:13 (2021) p.
Numerical valuation of Bermudan basket options via partial differential equations
Source
International journal of computer mathematics - ISSN 0020-7160-98:4 (2021) p. 829-844
Operator splitting schemes for the two-asset Merton jump-diffusion model
Source
Journal of computational and applied mathematics - ISSN 0377-0427-387 (2021) p.