On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
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Cites work
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- scientific article; zbMATH DE number 7680756 (Why is no real title available?)
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Cited in
(3)- On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
- Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
- On five-point equidistant stencils based on Gaussian function with application in numerical multi-dimensional option pricing
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