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JF
JC Frisch
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Authored
2 records found
WENO and blended BDF discretizations for option pricing problems
Conference paper -
C.W. Oosterlee
,
FJ Gaspar
,
JC Frisch
TVD, WENO and blended BDF discretizations for Asian options
Journal article -
C.W. Oosterlee
,
JC Frisch
,
FJ Gaspar