J. Lars Kirkby, Nguyen Hai Dang 0001, Duy Nguyen. A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. Applied Mathematics and Computation, 386:125472, 2020. [doi]
@article{KirkbyDN20,
title = {A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions},
author = {J. Lars Kirkby and Nguyen Hai Dang 0001 and Duy Nguyen},
year = {2020},
doi = {10.1016/j.amc.2020.125472},
url = {https://doi.org/10.1016/j.amc.2020.125472},
researchr = {https://researchr.org/publication/KirkbyDN20},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {386},
pages = {125472},
}