Adaptive \(\theta \)-methods for pricing American options (Q952094): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.cam.2007.10.035 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2108220655 / rank | |||
Normal rank | |||
Revision as of 21:19, 19 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
