"High-order compact finite difference scheme for option pricing in ..."

Bertram Düring, Michel Fournié (2012)

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DOI: 10.1016/J.CAM.2012.04.017

access: open

type: Journal Article

metadata version: 2021-02-16

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Bertram Düring, Michel Fournié:
High-order compact finite difference scheme for option pricing in stochastic volatility models. J. Comput. Appl. Math. 236(17): 4462-4473 (2012)

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