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20182024
most citedFourth order compact scheme for option pricing under Merton and Kou jump-diffusion models

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math.NA2022

A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEs

Anindya Goswami, Kuldip Singh Patel, Pradeep Kumar Sahu

Fourth-order accurate compact schemes for variable coefficient convection diffusion equations are considered. A sufficient condition for the stability of the fully discrete problem…