AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model

Severiano González-Pinto, Domingo Hernández-Abreu, S. Pérez-Rodríguez. AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model. J. Computational Applied Mathematics, 387:112518, 2021. [doi]

Abstract

Abstract is missing.