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Browsing Research Articles (Mathematics and Applied Mathematics) by Author "Davison, Matt"

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Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models

Pindza, Edson; Youbi, Francis; Mare, Eben; Davison, Matt (American Institute of Mathematical Sciences, 2019-06)

A new barycentric spectral domain decomposition methods algorithm for solving partial integro-differential models is described. The method is applied to European and butterfly call option pricing problems under a class of ...

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