Bates模型下一种美式期权高阶紧致有限差分定价方法

孙有发，丁露涛

High-Order Compact Finite Difference Scheme for Pricing American Options Under the Bates Model

SUN Youfa, DING Lutao

系统科学与数学 . 2017, (2): 425 -435 . DOI: 10.12341/jssms13073