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

Bertram Düring, Michel Fournié, Christof Heuer (2014)

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DOI: 10.1016/J.CAM.2014.04.016

access: open

type: Journal Article

metadata version: 2021-02-16

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Bertram Düring, Michel Fournié, Christof Heuer:
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. J. Comput. Appl. Math. 271: 247-266 (2014)

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