On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (Q6090285)

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scientific article; zbMATH DE number 7764807
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On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
scientific article; zbMATH DE number 7764807

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    On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (English)
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    14 November 2023
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    high-dimensional Black-Scholes
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    quartically convergent
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    stability
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    discretization
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    payoff
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