On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (Q879424): Difference between revisions
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| Property / author: Abdul Q. M. Khaliq / rank | |||
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Revision as of 05:27, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options |
scientific article |
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On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (English)
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11 May 2007
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barrier options
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Black-Scholes PDE
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Crank-Nicolson scheme
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Padé schemes
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smoothing
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