Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem

Yan Li, Zhengce Zhang, Bei Hu. Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem. SIAM J. Numerical Analysis, 56(4):2430-2460, 2018. [doi]

Authors

Yan Li

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Zhengce Zhang

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Bei Hu

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