Robust numerical methods for PDE models of Asian options
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Publisher
Infopro Digital Services Limited
Subject
Applied Mathematics,Computer Science Applications,Finance
Cited by 123 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. High-order accurate variable time step compact schemes for pricing vanilla and exotic options;Journal of Applied Mathematics and Computing;2024-05-21
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3. IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing;SEMA SIMAI Springer Series;2024
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5. Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing;Numerical Algorithms;2023-07-04
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