Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model
Article first published online: 15 JUN 2011
Copyright © 2011 Wiley Periodicals, Inc.
Numerical Methods for Partial Differential Equations
Volume 28, Issue 3, pages 1079–1098, May 2012
How to Cite
Lee, S. T. and Sun, H.-W. (2012), Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model. Numer. Methods Partial Differential Eq., 28: 1079–1098. doi: 10.1002/num.20677
- Issue published online: 6 MAR 2012
- Article first published online: 15 JUN 2011
- Manuscript Accepted: 21 FEB 2011
- Manuscript Received: 10 DEC 2009
- FDCT of Macao. Grant Number: 033/2009/A
- University of Macau. Grant Numbers: UL020/08-Y3/MAT/JXQ01/FST, RG057/09-10S/SHW/FST
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