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A new nonlinear partial differential equation in finance and a method of its solution
Itkin, Andrey
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011848371
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Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
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