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Walter Mudzimbabwe, Lubin Vulkov. IMEX schemes for a parabolic-ODE system of European options with liquidity shocks. J. Computational Applied Mathematics, 299:245-256, 2016. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity ShocksMiglena N. Koleva, Lubin G. Vulkov. lssc 2015: 360-368 [doi] Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks modelMiglena N. Koleva, Walter Mudzimbabwe, Lubin G. Vulkov. na, 74(1):59-75, 2017. [doi] Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume MethodMiglena N. Koleva, Lubin G. Vulkov. lssc 2020: 584-592 [doi]
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