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"Accelerated implementation of the ADI schemes for the Heston model with ..."

Long Teng, A. Clevenhaus (2019)

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DOI: 10.1016/J.JOCS.2019.07.009

access: closed

type: Journal Article

metadata version: 2023-03-22

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Long Teng, A. Clevenhaus:
Accelerated implementation of the ADI schemes for the Heston model with stochastic correlation. J. Comput. Sci. 36 (2019)

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