High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737)
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scientific article; zbMATH DE number 6063178
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| English | High-order compact finite difference scheme for option pricing in stochastic volatility models |
scientific article; zbMATH DE number 6063178 |
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High-order compact finite difference scheme for option pricing in stochastic volatility models (English)
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3 August 2012
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option pricing
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compact finite difference discretisations
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mixed derivatives
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high-order scheme
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0.9324485659599304
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0.9296615719795228
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0.9133663177490234
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0.8833916783332825
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