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KWON, YONGHOON(권용훈)
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Dept of Mathematics(수학과)
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Publication & Time Cited Count (For the Last 5 years)
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Date issued
2011
1
Type
Article
1
Subject
American option pricing
1
finite difference method
1
linear complementarity problem
1
operator splitting method
1
partial integro-differential equa...
1
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SCIE
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SCOPUS
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: scie
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: [2010 TO 2011]
Subject
: American option pricing
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Article
A SECOND-ORDER TRIDIAGONAL METHOD FOR AMERICAN OPTIONS UNDER JUMP-DIFFUSION MODELS
SCIE
SCOPUS
SIAM JOURNAL ON SCIENTIFIC COMPUTING, vol. 33, no. 4, page. 1860 - 1872, 2011-01
Kwon, Y
;
Lee, Y
1
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