Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids (Q4626510)
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scientific article; zbMATH DE number 7030707
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| English | Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids |
scientific article; zbMATH DE number 7030707 |
Statements
Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids (English)
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28 February 2019
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high-order compact schemes
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stochastic volatility models
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option pricing PDE
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0.9379124045372008
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0.8748463988304138
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0.8594931960105896
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0.8465738296508789
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