In this paper we consider Runge–Kutta methods for jump–diffusion differential equations. We present a study of their mean-square convergence properties for ...
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In numerical analysis, the Runge–Kutta methods are a family of implicit and explicit iterative methods, which include the Euler method, used in temporal ...
Missing: diffusion | Show results with:diffusion
In this paper, we propose explicit two-stage Runge-Kutta schemes of strong order one for solutions of stochastic differential equations driven by jump-diffusion ...
Abstract: In this paper, we consider exponential Runge-Kutta methods for the numerical pricing of options. The methods are shown to be an alternative to ...
This paper presents novel implicit–explicit Runge–Kutta type methods for numerically simulating partial integro-differential equations that arise when pricing ...
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Mar 7, 2024 · In this paper, we have devised a novel class of implicit-explicit Runge–Kutta methods for the valuation of financial derivatives under state-dependent regime- ...
Missing: differential | Show results with:differential
Mar 8, 2018 · The best resource on this topic for jump diffusions is probably Numerical Solution of Stochastic Differential Equations with Jumps in Finance.
Dec 26, 2016 · I would like to simulate from a jump diffusion model. I have written C++ code for use with Octave ...
In this paper we consider Runge-Kutta methods for jump-diffusion differential equations. We present a study of their mean-square convergence properties for ...
May 5, 2019 · Hello everyone! I have to solve this second order differential equation by using the Runge-Kutta method in matlab: can anyone help me please ...
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