Pradip Roul, V. M. K. Prasad Goura. A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option. J. Computational Applied Mathematics, 363:464-484, 2020. [doi]
@article{RoulG20,
title = {A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option},
author = {Pradip Roul and V. M. K. Prasad Goura},
year = {2020},
doi = {10.1016/j.cam.2019.06.015},
url = {https://doi.org/10.1016/j.cam.2019.06.015},
researchr = {https://researchr.org/publication/RoulG20},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {363},
pages = {464-484},
}