Miglena N. Koleva, Lubin G. Vulkov. Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks. In Ivan Lirkov, Svetozar Dimitrov Margenov, Jerzy Wasniewski, editors, Large-Scale Scientific Computing - 10th International Conference, LSSC 2015, Sozopol, Bulgaria, June 8-12, 2015. Revised Selected Papers. Volume 9374 of Lecture Notes in Computer Science, pages 360-368, Springer, 2015. [doi]
Abstract is missing.