A finite volume – alternating direction implicit approach...

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International Journal of Computer Mathematics 2017 / 03

A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models

Wyns, Maarten, Du Toit, Jacques
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Language:
english
Journal:
International Journal of Computer Mathematics
DOI:
10.1080/00207160.2017.1297805
Date:
March, 2017
File:
PDF, 3.55 MB
english, 2017
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