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"A computational weighted finite difference method for American and barrier ..."

Grzegorz Krzyzanowski, Marcin Magdziarz (2021)

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DOI: 10.1016/J.CNSNS.2020.105676

access: closed

type: Journal Article

metadata version: 2024-05-07

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  - https://dblp.org/rec/journals/cnsns/KrzyzanowskiM21
Grzegorz Krzyzanowski, Marcin Magdziarz:
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. Commun. Nonlinear Sci. Numer. Simul. 96: 105676 (2021)

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