Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. - Lynn Boen; Karel J. in 't Hout (CoRR, 2019)

European rainbow option values under the two-asset Merton jump-diffusion model. - Lynn Boen (J. Comput. Appl. Math., 2020)

Operator splitting schemes for the two-asset Merton jump-diffusion model. - Lynn Boen; Karel J. in 't Hout (J. Comput. Appl. Math., 2021)