"Splitting and matrix exponential approach for jump-diffusion models with ..."

Andrey Itkin (2014)

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DOI: 10.3233/AF-140041

access: closed

type: Journal Article

metadata version: 2017-05-17

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Andrey Itkin:
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. Algorithmic Finance 3(3-4): 233-250 (2014)

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