High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids |
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High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (English)
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26 August 2015
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high-order compact finite difference method
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partial differential equation
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mixed derivatives
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option pricing
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