High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (Q5433235): Difference between revisions

Latest revision as of 13:52, 27 June 2024

scientific article; zbMATH DE number 5224098

Language	Label	Description	Also known as
English	High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing	scientific article; zbMATH DE number 5224098

Statements

instance of

scholarly article

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title

High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (English)

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published in

Numerical Methods for Partial Differential Equations

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publication date

8 January 2008

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zbMATH Keywords

Black-Scholes PDE

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nonsmooth data

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nonsmooth pay-off

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Padé scheme

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parabolic problem

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positivity

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author

Abdul Q. M. Khaliq

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Bruce A. Wade

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Muhammad Irfan Yousuf

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Jesus Vigo Aguiar

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/num.20228

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cites work

Q4360234

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Semigroups of linear operators and applications to partial differential equations

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The Mathematics of Financial Derivatives

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An Introduction to Financial Option Valuation

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Identifiers

zbMATH Open document ID

1130.91338

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DOI

10.1002/num.20228

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5433235

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-Abdul Q. M. Khaliq
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-Normal rank
@@ Property / author @@
-Bruce A. Wade
@@ Property / author: Bruce A. Wade / rank @@
-Normal rank
@@ Property / author @@
-Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
-Normal rank
@@ Property / author @@
-Jesus Vigo Aguiar
@@ Property / author: Jesus Vigo Aguiar / rank @@
-Normal rank
@@ Property / author @@
+Abdul Q. M. Khaliq
@@ Property / author: Abdul Q. M. Khaliq / rank @@
+Normal rank
@@ Property / author @@
+Bruce A. Wade
@@ Property / author: Bruce A. Wade / rank @@
+Normal rank
@@ Property / author @@
+Muhammad Irfan Yousuf
@@ Property / author: Muhammad Irfan Yousuf / rank @@
+Normal rank
@@ Property / author @@
+Jesus Vigo Aguiar
@@ Property / author: Jesus Vigo Aguiar / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1002/num.20228
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+W2025917535
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@@ Property / cites work @@
+Q4360234
@@ Property / cites work: Q4360234 / rank @@
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Financial Option Valuation
@@ Property / cites work: An Introduction to Financial Option Valuation / rank @@
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