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20102017
most citedADI schemes for pricing American options under the Heston model

45 citations · 50 across the 2 of their papers we have counts for

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math.NA2017

ADI schemes for valuing European options under the Bates model

Karel in 't Hout, Jari Toivanen

This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations…