Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical pricing of financial derivatives using Jain's high-order compact scheme |
scientific article |
Statements
Numerical pricing of financial derivatives using Jain's high-order compact scheme (English)
0 references
11 December 2013
0 references
interest rate models
0 references
American options
0 references
high-order discretisations
0 references
operator splitting methods
0 references
Black-Scholes equation
0 references
0 references
0 references
