On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (Q6090285)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE |
scientific article; zbMATH DE number 7764807
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE |
scientific article; zbMATH DE number 7764807 |
Statements
On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (English)
0 references
14 November 2023
0 references
high-dimensional Black-Scholes
0 references
quartically convergent
0 references
stability
0 references
discretization
0 references
payoff
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8307764530181885
0 references
0.8191871047019958
0 references
0.8107696175575256
0 references
0.8048409819602966
0 references
0.8009418249130249
0 references
