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Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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- Journal:
- ESAIM: Mathematical Modelling and Numerical Analysis / Volume 38 / Issue 2 / March 2004
- Published online by Cambridge University Press:
- 15 March 2004, pp. 359-369
- Print publication:
- March 2004
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- Article
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