Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing.

Wen Cheng Nick Costanzino John Liechty Anna L. Mazzucato Victor Nistor Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. 901-934 2011 2 SIAM J. Financial Math. 1 http://dx.doi.org/10.1137/100796832 db/journals/siamfm/siamfm2.html#ChengCLMN11