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]
@article{ChengCLMN11,
title = {Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing},
author = {Wen Cheng and Nick Costanzino and John Liechty and Anna L. Mazzucato and Victor Nistor},
year = {2011},
doi = {10.1137/100796832},
url = {http://dx.doi.org/10.1137/100796832},
researchr = {https://researchr.org/publication/ChengCLMN11},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {2},
number = {1},
pages = {901-934},
}