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- W2304920912 abstract "We propose a fast and robust finite difference method for Merton``s jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model." @default.
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- W2304920912 date "2015-05-31" @default.
- W2304920912 modified "2023-10-14" @default.
- W2304920912 title "A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL" @default.
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- W2304920912 doi "https://doi.org/10.7468/jksmeb.2015.22.2.159" @default.
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