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"Lagrange Multiplier Approach with Optimized Finite Difference Stencils for ..."
Kazufumi Ito, Jari Toivanen (2009)
- Kazufumi Ito, Jari Toivanen:
Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility. SIAM J. Sci. Comput. 31(4): 2646-2664 (2009)
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