A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme (Q5030646)
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scientific article; zbMATH DE number 7476031
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| English | A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme |
scientific article; zbMATH DE number 7476031 |
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A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (English)
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17 February 2022
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foreign exchange options
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convection-diffusion equations
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initial-boundary value problems
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ADI schemes
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stability
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0.7790889739990234
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0.7677667140960693
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0.7630555629730225
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0.7616131901741028
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0.747536838054657
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