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Wansheng Wang · Study

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Wansheng Wang

4 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0002-2128-7501

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i104

Citations186

Works here4

16

19

21

Most cited in this library

On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance2019 · 97 citations
An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models2019 · 38 citations
Fast numerical valuation of options with jump under Merton’s model2016 · 29 citations
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function2021 · 22 citations

Works

4 shown

An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function

ESAIM Mathematical Modelling and Numerical Analysis·2021·3 authors·Open access

22citations

An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

Mathematical Methods in the Applied Sciences·2019·3 authors

38citations

On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance

SIAM Journal on Numerical Analysis·2019·2 authors

97citations

Fast numerical valuation of options with jump under Merton’s model

Journal of Computational and Applied Mathematics·2016·2 authors·Open access

29citations