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A Kind of Accelerated AOS Difference Schemes For Dual Currency Option Pricing Model
Dual currency option pricing model accelerated AOS algorithm 'explicit-implicit' scheme 'implicit-explicit' scheme second order accuracy
2011/10/15
Black-Scholes equation of Dual currency option pricing is a typical multi-asset option pricing model, and it is important to research it's numerical value. This paper uses the accelerated additive ope...