High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737): Difference between revisions

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Latest revision as of 12:10, 5 July 2024

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High-order compact finite difference scheme for option pricing in stochastic volatility models
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    High-order compact finite difference scheme for option pricing in stochastic volatility models (English)
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    3 August 2012
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    option pricing
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    compact finite difference discretisations
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    mixed derivatives
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    high-order scheme
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