Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing

Attipoe, DS; Tambue, A

Tambue, A (corresponding author), Western Norway Univ Appl Sci, Dept Comp Sci Elect Engn & Math Sci, Inndalsveien 28, N-5063 Bergen, Norway.

APPLIED MATHEMATICS AND COMPUTATION, 2021; 401 ():

Abstract

We present in this paper two novel numerical spatial discretization techniques based on the mimetic finite difference method for a degenerated partial......

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