PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071)
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scientific article; zbMATH DE number 7384599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME |
scientific article; zbMATH DE number 7384599 |
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PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (English)
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24 August 2021
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American options
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stochastic volatility
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uncertain volatility
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Runge-Kutta-Legendre
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Runge-Kutta-Chebyshev
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finite difference method
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quantitative finance
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pricing
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