Adaptive \(\theta \)-methods for pricing American options (Q952094): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:42, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive \(\theta \)-methods for pricing American options |
scientific article |
Statements
Adaptive \(\theta \)-methods for pricing American options (English)
0 references
6 November 2008
0 references
Black-Scholes PDE
0 references
American options
0 references
\(\theta \)-methods
0 references
method of lines
0 references
locally one-dimensional exponential splitting
0 references
adaptive time-stepping
0 references
