"A new finite difference method for pricing and hedging fixed income ..."

Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente (2016)

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DOI: 10.1016/J.CAM.2015.10.025

access: open

type: Journal Article

metadata version: 2023-09-30

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Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente:
A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. J. Comput. Appl. Math. 297: 98-116 (2016)

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