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Article Dans Une Revue Journal of Computational and Applied Mathematics Année : 2012

High-order compact finite difference scheme for option pricing in stochastic volatility models

Bertram Düring
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hal-00876472 , version 1 (24-10-2013)

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Bertram Düring, Michel Fournié. High-order compact finite difference scheme for option pricing in stochastic volatility models. Journal of Computational and Applied Mathematics, 2012, 236 (17), pp.4462-4473. ⟨10.1016/j.cam.2012.04.017⟩. ⟨hal-00876472⟩
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