Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model

Shu-Ling Yang, Spike T. Lee, Hai-wei Sun. Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model. Int. J. Comput. Math., 88(8):1730-1748, 2011. [doi]

Abstract

Abstract is missing.