"High-order accurate variable time step compact schemes for pricing vanilla ..."

Pradeep Kumar Sahu, Kuldip Singh Patel (2024)

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DOI: 10.1007/S12190-024-02118-Z

access: closed

type: Journal Article

metadata version: 2024-10-09

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Pradeep Kumar Sahu, Kuldip Singh Patel:
High-order accurate variable time step compact schemes for pricing vanilla and exotic options. J. Appl. Math. Comput. 70(5): 4021-4052 (2024)

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