On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (Q6104881)
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scientific article; zbMATH DE number 7703986
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs |
scientific article; zbMATH DE number 7703986 |
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On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (English)
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28 June 2023
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multi-asset PDEs
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graded meshes
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stable
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option pricing
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fourth order of convergence
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