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A combined compact difference scheme for option pricing in the exponential jump diffusion models

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Figure

Table 1 A comparison between the approximate solution and the exact solution corresponding tothe European call options under the Merton model with λ = 0
Figure 1 European call option prices versus stock prices. Exact and numerical solutions of European calloptions for S ∈ [60,130] and λ = 0.1 (up) and the distribution of absolute error (down)
Table 6 Order of convergence of the CCD method for American put options under the Mertonmodel with λ = 0.1
Figure 3 American call option prices versus asset prices. Price of option at various states of economy as afunction of stock price and time for American call options under the Merton jump-diffusion model

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