Fast and efficient numerical methods for an extended Black-Scholes model
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Publication:316536
DOI10.1016/j.camwa.2013.12.008zbMath1386.91158arXiv1205.6265OpenAlexW2158954296MaRDI QIDQ316536
Publication date: 27 September 2016
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.6265
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Preconditioners for iterative methods (65F08)
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