High order method for Black-Scholes PDE (Q1732487): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 05:29, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | High order method for Black-Scholes PDE |
scientific article |
Statements
High order method for Black-Scholes PDE (English)
0 references
25 March 2019
0 references
option pricing
0 references
Black-Scholes formula
0 references
compact difference scheme
0 references
backward differentiation formula
0 references
grid refinement method
0 references