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• W2016299261 abstract "We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver." @default.
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• W2016299261 date "2011-10-05" @default.
• W2016299261 modified "2023-10-12" @default.
• W2016299261 title "Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market" @default.
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• W2016299261 doi "https://doi.org/10.1080/14697688.2011.618144" @default.
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