Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609): Difference between revisions
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Revision as of 02:12, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential time integration and Chebychev discretisation schemes for fast pricing of options |
scientific article |
Statements
Exponential time integration and Chebychev discretisation schemes for fast pricing of options (English)
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1 September 2008
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option pricing
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exponential time differencing
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spectral methods
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jump-diffusion processes
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integro-differential equations
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