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"A Positivity-Preserving Splitting Method for 2D Black-Scholes Equations in ..."

Tatiana P. Chernogorova, Radoslav L. Valkov (2012)

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DOI: 10.1007/978-3-642-41515-9_21

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-23

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  - conf/naa/ChernogorovaV12
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Tatiana P. Chernogorova, Radoslav L. Valkov:
A Positivity-Preserving Splitting Method for 2D Black-Scholes Equations in Stochastic Volatility Models. NAA 2012: 206-213

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