Compact finite difference scheme for option pricing in Heston's model

Düring, Bertram and Fournié, Michel (2010) Compact finite difference scheme for option pricing in Heston's model. In: In: AIP Conference Proceedings 1281, Numerical Analysis and Applied Mathematics: International Conference of Numerical Analysis and Applied Mathematics 2010, T.E. Simos et al. (eds.), pp. 219-222, American Institute of Physics (AIP), Melville, NY, 2010., Rhodes, Greece.

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Item Type: Conference or Workshop Item (Paper)
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Depositing User: Bertram During
Date Deposited: 06 Feb 2012 19:42
Last Modified: 04 Apr 2012 10:31
URI: http://sro.sussex.ac.uk/id/eprint/21807
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