Numerical pricing of options using high-order compact finite difference schemes

By D. Tangman, A. Gopaul, M. Bhuruth. 2008

101 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/a5bd69872a4eb13cc5c757ff710e4bbef5921ac5