Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing - researchr publication

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Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor. Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. SIAM J. Financial Math., 2(1):901-934, 2011. [doi]

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