Finite difference schemes for linear stochastic integro-differential equations
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DOI: 10.1016/j.spa.2016.04.025
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- Rama Cont & Ekaterina Voltchkova, 2005. "A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models," Post-Print halshs-00445645, HAL.
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- Alipour, Sahar & Mirzaee, Farshid, 2020. "An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: A combined successive approximations method with bilinear spline interpolation," Applied Mathematics and Computation, Elsevier, vol. 371(C).
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Keywords
Stochastic integro-differential equations; Finite differences; Lévy processes;All these keywords.
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