Convergence of a High-order Compact Finite Difference Scheme for a Nonlinear Black-Scholes Equation

By Bertram Düring, Michel Fournié, A. Jungel. 2004

55 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/2c7f8e9a9464210847e5d3144737751ffe319722