Multigrid method for pricing European options under the CGMY process (Q2126958)
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scientific article; zbMATH DE number 7510027
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multigrid method for pricing European options under the CGMY process |
scientific article; zbMATH DE number 7510027 |
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Multigrid method for pricing European options under the CGMY process (English)
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19 April 2022
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multigrid
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two-grid analysis
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Black-Scholes equation
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CGMY model
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PIDE
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0.9072964
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0.8912174
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0.87877417
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0.86793184
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0.86722434
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0.8626624
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0.8619261
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0.86103743
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