Biblio

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Haentjens T, in't Hout KJ.  In Press.  ADI finite difference schemes for the Heston-Hull-White PDE. The Journal of Computational Finance.  Download: 1111.4087.pdf (904.55 KB)
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in't Hout KJ, Foulon S.  2010.  ADI finite difference schemes for option pricing in the Heston model with correlation. International Journal of Numerical Analysis and Modeling. 7(2):303-320.
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in't Hout KJ, Spijker MN.  1991.  The theta-methods in the numerical solution of delay differential equations. The Numerical Treatment of Differential Equations, ed. K. Strehmel, Teubner-Texte zur Mathematik. 121:61–67.