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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

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References

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2005A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion102 cited

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1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited

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2015Circulant preconditioning technique for barrier options pricing under fractional diffusion models33 cited
2017A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models26 cited