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MR2019728 (2004j:65114) 65M06 (91B28)
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar High order compact finite difference schemes for a nonlinear Black-Scholes equation. Int. J. Theor. Appl. Finance 6 (2003), no. 7, 767–789.
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