Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
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Publication:819096
DOI10.1016/j.ejor.2005.01.013zbMath1115.91029OpenAlexW2031299990MaRDI QIDQ819096
Publication date: 22 March 2006
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2005.01.013
Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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Uses Software
Cites Work
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