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Curtailing the range for lattice and grid methods
Andricopoulos, Ari D.; Widdick, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61
Persistent link: https://www.econbiz.de/10002108943
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The Black-scholes equation revisited : asymptotic expansions and singular perturbations
Widdicks, Martin; Duck, Peter W.; Andricopoulos, Ari D.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 373-391
Persistent link: https://www.econbiz.de/10002725537
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Singular perturbation techniques applied to multiasset option pricing
Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 457-486
Persistent link: https://www.econbiz.de/10003882793
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Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10003010747