A quick operator splitting method for option pricing (Q2074881)
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scientific article; zbMATH DE number 7472428
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A quick operator splitting method for option pricing |
scientific article; zbMATH DE number 7472428 |
Statements
A quick operator splitting method for option pricing (English)
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11 February 2022
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ADI operator-splitting
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finite difference method for partial differential equation
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preservation of convexity
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removing of cross derivative term
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0.8615274429321289
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0.8504736423492432
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0.8479412794113159
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0.8159241080284119
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