- [1]
A.Hadjidimos. Successive overrelaxation (SOR) and related methods. Ottawa, Ontario, Canada K1A 0G9, 11 2000.
- [2]
D.Duffy. Finite difference methods in financial engineering. Addison-Wesley, 1st edition, 2006.
- [3]
C.Randall D.Tavella. Pricing Financial Instruments. Addison-Wesley, 2000.
- [4]
M.Scholes F.Black. The pricing of options and corporate liabilities. Journal of Political Economy, 1973.
- [5]
I.Clark. Foreign Exchange Option Pricing. Addison-Wesley, 1st edition, 2011.
- [6]
J.London. Modelling Derivatives in C++. John Wiley and Sons Ltd, West Sussex PO19 8SQ, England, 1st edition, 2005.
- [7]
E.Gamma R.Helm R.Johnson J.Vlissides. Design Patterns: Elements of Reusable Object-Oriented Software. Addison-Wesley, 1st edition, 1994.
- [8]
S.Foulon K.Hout. Adi finite difference schemes for option pricing in the heston model with correlation. Internation Journal of Numerical Analysis and Modelling, 7(2):303–320, 2010.
- [9]
K.Huang. Introduction to statistical physics. Taylor and Francis, 1st edition, 2001.
- [10]
D.Mayers K.W.Morton. Numerical Solution of Partial Differential Equations. Cambridge University Press, 2nd edition, 2005.
- [11]
E.M.Lifshitz L.P.Pitaevskii. Physical Kinetics Volume 10 Course of Theoretical Physics. Elsevier Ltd, 1st edition, 1981.
- [12]
I.A.Stegun M.Abramovitz. Handbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables. National Bureau of Standards, 1970.
- [13]
T.Zastawniak M.Capinski. Numerical Methods in Finance with C++. Cambridge University Press, The Edinburgh Building, Cambridge CB2 8RU, UK, 1st edition, 2012.
- [14]
M.Joshi. C++ Design Patterns and Derivative Pricing. Cambridge University Press, 2nd edition, 2008.
- [15]
T.Kluge. Pricing derivatives in stochastic volatility models using the finite difference method. Dipl. thesis, TU Chemnitz, 2002.