Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing

Jingtang Ma, Zhiqiang Zhou. Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing. J. Sci. Comput., 75(3):1656-1674, 2018. [doi]

Authors

Jingtang Ma

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Zhiqiang Zhou

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