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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English | 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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