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Derivative pricing as a transport problem: MPDATA solutions to Black–Scholes-type equations
Arabas, Sylwester, Farhat, AhmadLanguage:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2019.05.023
Date:
June, 2019
File:
PDF, 501 KB
english, 2019