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Derivative pricing as a transport problem: MPDATA solutions..:
Arabas, Sylwester
;
Farhat, Ahmad
Journal of Computational and Applied Mathematics. 373 (2020) - p. 112275 , 2020
Link:
https://doi.org/10.1016/j.cam.2019.05.023
RT Journal T1 <Title>Derivative pricing as a transport problem: MPDATA solutions to Black–Scholes-type equations</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1016_j.cam.2019.05.023&Exemplar=1&LAN=DE A1 Arabas, Sylwester A1 Farhat, Ahmad PB Elsevier BV YR 2020 SN 0377-0427 JF Journal of Computational and Applied Mathematics VO 373 SP 112275 LK http://dx.doi.org/https://doi.org/10.1016/j.cam.2019.05.023 DO https://doi.org/10.1016/j.cam.2019.05.023 SF ELIB - SuUB Bremen
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