IMPLICIT-EXPLICIT METHOD FOR PRICING AMERICAN OPTIONS UNDER MERTON AND KOU JUMP DIFFUSION MODELS

Chen Yingzi, Wang Wansheng, Xie Jiaquan

Mathematica Numerica Sinica ›› 2025, Vol. 47 ›› Issue (1) : 61-78.

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中国科学院数学与系统科学研究院期刊网
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Mathematica Numerica Sinica ›› 2025, Vol. 47 ›› Issue (1) : 61-78. DOI: 10.12286/jssx.j2024-1175
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IMPLICIT-EXPLICIT METHOD FOR PRICING AMERICAN OPTIONS UNDER MERTON AND KOU JUMP DIFFUSION MODELS

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{{article.zuoZheEn_L}}. {{article.title_en}}. Mathematica Numerica Sinica, 2025, 47(1): 61-78 https://doi.org/10.12286/jssx.j2024-1175

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