A variable step-size implicit-explicit runge-kutta approach to option pricing for jump-diffusion models with nonsmooth payoff functions

Journal of Applied Mathematics and Computing 2026

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Authors: Jincheng Ren, Shiyu He

DOI: 10.1007/s12190-026-02830-y

Cited by: 1

References: 33

Fields of Study & Subjects

Stochastic processes and financial applications Numerical methods for differential equations Quantum chaos and dynamical systems

References 33