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• W2791075088 abstract "ABSTRACTAn efficient second-order method for pricing European and American options under regime-switching jump-diffusion models is presented and analysed for stability and convergence. The implicit–explicit (IMEX) nature of the proposed method avoids the need to invert a full matrix and leads to tridiagonal systems that can be efficiently solved by direct methods. The IMEX predictor–corrector method is coupled with the operator splitting method to solve the linear complementarity problem of the American options. Numerical experiments are performed to demonstrate the stability and second-order convergence of the method." @default.
• W2791075088 created "2018-03-29" @default.
• W2791075088 creator A5016354256 @default.
• W2791075088 date "2018-03-15" @default.
• W2791075088 modified "2023-10-02" @default.
• W2791075088 title "An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models" @default.
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• W2791075088 doi "https://doi.org/10.1080/00207160.2018.1446526" @default.
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