J. Wang, P. A. Forsyth. Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance. SIAM J. Numerical Analysis, 46(3):1580-1601, 2008. [doi]
@article{WangF08-3,
title = {Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance},
author = {J. Wang and P. A. Forsyth},
year = {2008},
doi = {10.1137/060675186},
url = {http://dx.doi.org/10.1137/060675186},
researchr = {https://researchr.org/publication/WangF08-3},
cites = {0},
citedby = {0},
journal = {SIAM J. Numerical Analysis},
volume = {46},
number = {3},
pages = {1580-1601},
}