Integro-differential equations for option prices in exponential Lévy models. - Rama Cont; Ekaterina Voltchkova (Finance Stochastics, 2005)

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models. - Rama Cont; Ekaterina Voltchkova (SIAM J. Numer. Anal., 2005)