On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (Q879424)
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scientific article; zbMATH DE number 5151823
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| English | On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options |
scientific article; zbMATH DE number 5151823 |
Statements
On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (English)
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11 May 2007
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barrier options
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Black-Scholes PDE
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Crank-Nicolson scheme
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Padé schemes
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smoothing
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0.8493188619613647
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0.7790725231170654
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0.7678969502449036
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0.7619329690933228
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0.7488533854484558
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