Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model

A. Shidfar, Kh. Paryab, A. R. Yazdanian, Traian A. Pirvu. Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model. Int. J. Comput. Math., 91(12):2603-2620, 2014. [doi]

Abstract

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