Nat Chun-Ho Leung, Christina C. Christara, Duy Minh Dang. Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation. SIAM J. Scientific Computing, 40(1), 2018. [doi]
@article{LeungCD18,
title = {Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation},
author = {Nat Chun-Ho Leung and Christina C. Christara and Duy Minh Dang},
year = {2018},
doi = {10.1137/16M1099017},
url = {https://doi.org/10.1137/16M1099017},
researchr = {https://researchr.org/publication/LeungCD18},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {40},
number = {1},
}