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Jump-diffusion, PIDE, splitting, matrix exponential, unconditionally stable schemes
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File name: SSRN-id3026042.
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nonlinear partial differential equation (PDE), optimization, finite-difference scheme, options, pricing
File name: SSRN-id2794898.
jump-diffusion, partial integro-differential equation (PIDE), splitting, matrix exponential, unconditionally stable schemes
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