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• Jumps Without Tears: A New Splitting Technology for Barrier Options

  Andrey Itkin, Peter Carr

  2011-08-01

  31494 2674 Pages:667-704

• ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation

  K. J. In't Hout, S. Foulon

  2010-07-01

  35277 2889 Pages:303-320