On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (Q6104881): Difference between revisions

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Revision as of 13:44, 1 August 2024

scientific article; zbMATH DE number 7703986
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English
On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
scientific article; zbMATH DE number 7703986

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    On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (English)
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    28 June 2023
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    multi-asset PDEs
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    graded meshes
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    stable
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    option pricing
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    fourth order of convergence
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