A practical finite difference method for the three-dimensional Black-Scholes equation

Junseok Kim, Taekkeun Kim, Jae-Hyun Jo, Yongho Choi, Seunggyu Lee, Hyeongseok Hwang, Minhyun Yoo, Darae Jeong. A practical finite difference method for the three-dimensional Black-Scholes equation. European Journal of Operational Research, 252(1):183-190, 2016. [doi]

Abstract

Abstract is missing.