A high-order finite difference method for option valuation (Q1705003)
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scientific article; zbMATH DE number 6849847
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| English | A high-order finite difference method for option valuation |
scientific article; zbMATH DE number 6849847 |
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A high-order finite difference method for option valuation (English)
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14 March 2018
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high-order scheme
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local mesh refinement
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exponential time integration
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Merton's jump-diffusion model
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Heston's stochastic volatility model
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nonlinear Black-Scholes equation
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0.8568702340126038
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0.8430566787719727
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0.826641321182251
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0.8240271806716919
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