On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (Q879424)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options |
scientific article |
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On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (English)
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11 May 2007
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barrier options
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Black-Scholes PDE
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Crank-Nicolson scheme
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Padé schemes
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smoothing
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