Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters |
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Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (English)
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23 May 2022
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Black-Scholes model
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free boundary problem
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non-smooth function
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Rannacher scheme
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orthogonal splines
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option pricing
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