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PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution

Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez 0002. PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Computers & Mathematics with Applications, 79(5):1525-1542, 2020. [doi]

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