Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509)

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scientific article; zbMATH DE number 7030706
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Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models
scientific article; zbMATH DE number 7030706

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    Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (English)
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    28 February 2019
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    option pricing
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    alternating direction implicit scheme
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