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Michel Fournié · Study

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Michel Fournié

4 works· latest 2013· 1 institutionscluster: provisionalORCID 0009-0003-7790-3195

h-index4

i104

Citations232

Works here4

03

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13

Most cited in this library

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation2003 · 78 citations
High-order compact finite difference scheme for option pricing in stochastic volatility models2012 · 70 citations
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation2004 · 52 citations
High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids2013 · 32 citations

Works

4 shown

High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

Journal of Computational and Applied Mathematics·2013·3 authors·Open access

32citations

High-order compact finite difference scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics·2012·2 authors·Open access

70citations

Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

ESAIM Mathematical Modelling and Numerical Analysis·2004·3 authors·Open access

52citations

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

International Journal of Theoretical and Applied Finance·2003·3 authors·Open access

78citations