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20132024
most citedResearch trends in combinatorial optimisation

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math.NA2013

Positive Splitting Method for the Hull & White 2D Black-Scholes Equation

T. Chernogorova, R. Valkov

In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the two-dimensional Black-Scholes equation, arising in the Hull & White model for pri…