High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (Q5433235): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 02:59, 9 February 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)
0 references
8 January 2008
0 references
Black-Scholes PDE
0 references
nonsmooth data
0 references
nonsmooth pay-off
0 references
Padé scheme
0 references
parabolic problem
0 references
positivity
0 references
