High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 04:11, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order compact finite difference scheme for option pricing in stochastic volatility models |
scientific article |
Statements
High-order compact finite difference scheme for option pricing in stochastic volatility models (English)
0 references
3 August 2012
0 references
option pricing
0 references
compact finite difference discretisations
0 references
mixed derivatives
0 references
high-order scheme
0 references
