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"High-order compact scheme for solving nonlinear Black-Scholes equation ..."

Wenyuan Liao, Abdul Q. M. Khaliq (2009)

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DOI: 10.1080/00207160802609829

access: closed

type: Journal Article

metadata version: 2019-10-19

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Wenyuan Liao, Abdul Q. M. Khaliq:
High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost. Int. J. Comput. Math. 86(6): 1009-1023 (2009)

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