High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (Q5433235): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1002/num.20228 / rank | |||
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| Property / OpenAlex ID: W2025917535 / rank | |||
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| Property / cites work: Q4360234 / rank | |||
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| Property / cites work: Semigroups of linear operators and applications to partial differential equations / rank | |||
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| Property / cites work: The Mathematics of Financial Derivatives / rank | |||
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| Property / cites work: An Introduction to Financial Option Valuation / rank | |||
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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
High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (English)
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8 January 2008
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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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