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Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations
Hendricks, Christian, Ehrhardt, Matthias, Gunther, MichaelVolume:
21
Year:
2018
Language:
english
Journal:
Journal of Computational Finance
DOI:
10.21314/jcf.2018.342
File:
PDF, 1.73 MB
english, 2018