High Order Compact Schemes for Option Pricing with Liquidity Shocks (Q4626511): Difference between revisions

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+https://doi.org/10.1007/978-3-319-61282-9_18
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+W2756151197
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+The operator compact implicit method for parabolic equations
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+A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
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+High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
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+Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
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+Smoothing of initial data and rates of convergence for parabolic difference equations
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+High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
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+EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
@@ Property / cites work: EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS / rank @@
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+IMEX schemes for a parabolic-ODE system of European options with liquidity shocks
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+Numerical pricing of options using high-order compact finite difference schemes
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+An energy-conserving second order numerical scheme for nonlinear hyperbolic equation with an exponential nonlinear term
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