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Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time. (English) Zbl 1414.91417

Karasözen, Bülent (ed.) et al., Numerical mathematics and advanced applications – ENUMATH 2015. Selected papers based on the presentations at the European conference, Ankara, Turkey, September 14–18, 2015. Cham: Springer. Lect. Notes Comput. Sci. Eng. 112, 607-615 (2016).
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