"Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross ..."

Tinne Haentjens (2013)

> Home

Details and statistics

DOI: 10.1080/00207160.2013.777710

access: closed

type: Journal Article

metadata version: 2023-08-28

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/ijcm/Haentjens13
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/ijcm/Haentjens13
Tinne Haentjens:
Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes. Int. J. Comput. Math. 90(11): 2409-2430 (2013)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.