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]
@article{KolevaMV17,
title = {Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model},
author = {Miglena N. Koleva and Walter Mudzimbabwe and Lubin G. Vulkov},
year = {2017},
doi = {10.1007/s11075-016-0138-3},
url = {http://dx.doi.org/10.1007/s11075-016-0138-3},
researchr = {https://researchr.org/publication/KolevaMV17},
cites = {0},
citedby = {0},
journal = {Numerical Algorithms},
volume = {74},
number = {1},
pages = {59-75},
}