Numerical option pricing without oscillations using flux limiters
DOI10.1016/J.CAMWA.2015.04.003zbMATH Open1443.91332OpenAlexW316351683MaRDI QIDQ2007187FDOQ2007187
Publication date: 12 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.04.003
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Cites Work
- The pricing of options and corporate liabilities
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- Fractional step methods applied to a chemotaxis model
- Finite element solution of diffusion problems with irregular data
- Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme
- On the Construction and Comparison of Difference Schemes
- TVD, WENO and blended BDF discretizations for Asian options
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