Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps

Applied Numerical Mathematics 2026 Open access

Read full text

Authors: Mustapha Regragui, Karel J. in ’t Hout, Michèle Vanmaele, Fred Espen Benth

DOI: 10.1016/j.apnum.2026.05.004

Cited by: 0

Fields of Study & Subjects

Stochastic processes and financial applications Capital Investment and Risk Analysis stochastic dynamics and bifurcation