Laplace transform and finite difference methods for the Black-Scholes equation (Q902554): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
Property / describes a project that uses | |||
Property / describes a project that uses: Algorithm 368 / rank | |||
Normal rank |
Revision as of 21:00, 28 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Laplace transform and finite difference methods for the Black-Scholes equation |
scientific article |
Statements
Laplace transform and finite difference methods for the Black-Scholes equation (English)
0 references
18 January 2016
0 references
Black-Scholes equation
0 references
completely monotonic function
0 references
finite difference scheme
0 references
Laplace transform
0 references
\(M\)-matrix
0 references
positivity-preserving
0 references
post-widder formula
0 references