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- W2031299990 abstract "Implicit–explicit Runge–Kutta methods are investigated for application to financial derivatives pricing models in the partial differential equations approach. The methods are showed to be an alternative to other existing procedures for the numerical valuation of American type contracts. We follow the method of lines in order to have a numerical method that can be used with a variety of state variable discretizations including finite elements, finite differences and finite volume methods. Some numerical experiments are presented." @default.
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- W2031299990 title "Implicit–explicit Runge–Kutta methods for financial derivatives pricing models" @default.
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