Blar i HVL Open på forfatter "Koffi, Stephane Rock"
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A fitted L-Multi-point Flux Approximation method for pricing options
Koffi, Stephane Rock; Tambue, Antoine (Peer reviewed; Journal article, 2021)In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for ...