Nonstandard finite difference schemes with application to finance: option pricing (Q3000764)
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scientific article; zbMATH DE number 5901192
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| English | Nonstandard finite difference schemes with application to finance: option pricing |
scientific article; zbMATH DE number 5901192 |
Statements
30 May 2011
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Black-Scholes equation
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finite difference schemes
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Jacobi matrix
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M-matrix
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nonsmooth initial conditions
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positivity-preserving
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option pricing
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Crank-Nicolson scheme
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0.8639218211174011
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0.8308963775634766
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0.8285509347915649
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