A contour integral method for the Black-Scholes and Heston equations.

TitleA contour integral method for the Black-Scholes and Heston equations.
Publication TypeJournal Article
Year of Publication2011
Authorsin't Hout KJ, Weideman JAC
JournalSIAM Journal on Scientific Computing
Volume33
Pagination763–785
DOIhttp://dx.doi.org/10.1137/090776081