On a semi-spectral method for pricing an option on a mean-reverting asset (Q4646794): Difference between revisions

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+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
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+Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
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+One-Parameter Semigroups for Linear Evolution Equations
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+Two singular diffusion problems
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+Second-order Sturm-Liouville difference equations and orthogonal polynomials
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+On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
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+Q3836536
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+The Mathematics of Financial Derivatives
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