Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509)
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scientific article; zbMATH DE number 7030706
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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