A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646)
From MaRDI portal
scientific article; zbMATH DE number 7476031
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme |
scientific article; zbMATH DE number 7476031 |
Statements
A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (English)
0 references
17 February 2022
0 references
foreign exchange options
0 references
convection-diffusion equations
0 references
initial-boundary value problems
0 references
ADI schemes
0 references
stability
0 references
0 references
0 references
0 references
0 references
0 references
