Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

Author： Düring Bertram   Fournié Michel   Jüngel Ansgar  

Publisher： Edp Sciences

E-ISSN： 1290-3841|38|2|359-369

ISSN： 0764-583x

Source： ESAIM: Mathematical Modelling and Numerical Analysis, Vol.38, Iss.2, 2010-03, pp. : 359-369

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