Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model

Miglena N. Koleva, Walter Mudzimbabwe, Lubin G. Vulkov. Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model. Numerical Algorithms, 74(1):59-75, 2017. [doi]

Abstract

Abstract is missing.