Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (Q2051161)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation |
scientific article |
Statements
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (English)
0 references
24 November 2021
0 references
double barrier option
0 references
mesh optimization
0 references
Richardson extrapolation
0 references
high-order accuracy
0 references
finite difference method
0 references
0 references
0 references
