High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Düring, B.; Fournié, M.; and Heuer, C. J. Comput. Appl. Math., 271:247-266, 2014.
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. [link]Link  High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. [link]Paper  bibtex   
@article{journals/jcam/DuringFH14,
  added-at = {2020-02-20T00:00:00.000+0100},
  author = {Düring, Bertram and Fournié, Michel and Heuer, Christof},
  biburl = {https://www.bibsonomy.org/bibtex/228667fba0627c54d05c8741b04bfdc92/dblp},
  ee = {https://doi.org/10.1016/j.cam.2014.04.016},
  interhash = {c066052f6571f6346df59b8000e712ad},
  intrahash = {28667fba0627c54d05c8741b04bfdc92},
  journal = {J. Comput. Appl. Math.},
  keywords = {dblp},
  pages = {247-266},
  timestamp = {2020-02-21T13:11:51.000+0100},
  title = {High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids.},
  url = {http://dblp.uni-trier.de/db/journals/jcam/jcam271.html#DuringFH14},
  volume = 271,
  year = 2014
}
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