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"Derivative pricing as a transport problem: MPDATA solutions to ..."

Sylwester Arabas, Ahmad Farhat (2020)

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DOI: 10.1016/J.CAM.2019.05.023

access: closed

type: Journal Article

metadata version: 2020-04-09

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Sylwester Arabas, Ahmad Farhat:
Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations. J. Comput. Appl. Math. 373: 112275 (2020)

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