"A finite volume - alternating direction implicit approach for the ..."

Maarten Wyns, Jacques Du Toit (2017)

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DOI: 10.1080/00207160.2017.1297805

access: closed

type: Journal Article

metadata version: 2017-11-24

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Maarten Wyns, Jacques Du Toit:
A finite volume - alternating direction implicit approach for the calibration of stochastic local volatility models. Int. J. Comput. Math. 94(11): 2239-2267 (2017)

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