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"IMEX schemes for a parabolic-ODE system of European options with liquidity ..."

Walter Mudzimbabwe, Lubin G. Vulkov (2016)

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DOI: 10.1016/J.CAM.2015.11.049

access: open

type: Journal Article

metadata version: 2023-09-30

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Walter Mudzimbabwe, Lubin G. Vulkov:
IMEX schemes for a parabolic-ODE system of European options with liquidity shocks. J. Comput. Appl. Math. 299: 245-256 (2016)

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