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"Space-time adaptive finite difference method for European multi-asset options."

Per Lötstedt et al. (2007)

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DOI: 10.1016/J.CAMWA.2006.09.014

access: open

type: Journal Article

metadata version: 2021-02-11

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  dblp key:
  - journals/cma/LotstedtPST07
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  - https://dblp.org/rec/journals/cma/LotstedtPST07
Per Lötstedt, Jonas Persson, Lina von Sydow, Johan Tysk:
Space-time adaptive finite difference method for European multi-asset options. Comput. Math. Appl. 53(8): 1159-1180 (2007)

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