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Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien
;
Lépinette, Emmanuel
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
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2
SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations
Ávalos, Javier Hernández
;
Johnson, Paul V.
;
Duck, Peter W.
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 69-108
Persistent link: https://www.econbiz.de/10011442669
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