"Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic ..."

Wen Cheng et al. (2011)

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DOI: 10.1137/100796832

access: closed

type: Journal Article

metadata version: 2017-05-17

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Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor:
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. SIAM J. Financial Math. 2(1): 901-934 (2011)

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