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

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q-fin.CP2024

Estimation of domain truncation error for a system of PDEs arising in option pricing

Anindya Goswami, Kuldip Singh Patel

In this paper, a multidimensional system of parabolic partial differential equations arising in European option pricing under a regime-switching market model is studied in details.…