Exponential time integration and Chebychev discretisation schemes for fast pricing of options

Title
Exponential time integration and Chebychev discretisation schemes for fast pricing of options
Authors
Keywords
-
Journal
APPLIED NUMERICAL MATHEMATICS
Volume 58, Issue 9, Pages 1309-1319
Publisher
Elsevier BV
Online
2007-07-31
DOI
10.1016/j.apnum.2007.07.005

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