Luca Vincenzo Ballestra. Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation. Comput. Manag. Science, 18(2):239-263, 2021. [doi]
@article{Ballestra21,
title = {Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation},
author = {Luca Vincenzo Ballestra},
year = {2021},
doi = {10.1007/s10287-021-00394-9},
url = {https://doi.org/10.1007/s10287-021-00394-9},
researchr = {https://researchr.org/publication/Ballestra21},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {18},
number = {2},
pages = {239-263},
}