Closed-form asymptotics and numerical approximations of 1{D} parabolic equations with applications to option pricing

Victor Nistor (), Wen Cheng, Nick Costanzino, John Liechty and Anna Mazzucato
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Victor Nistor: LMAM - Laboratoire de Mathématiques et Applications de Metz - UPVM - Université Paul Verlaine - Metz - CNRS - Centre National de la Recherche Scientifique
Anna Mazzucato: Penn State - Pennsylvania State University - Penn State System

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Date: 2011
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Published in SIAM Journal on Financial Mathematics, 2011, ⟨10.1137/100796832⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01284880

DOI: 10.1137/100796832

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