scientific article
zbMath1224.65206MaRDI QIDQ3000773
Publication date: 30 May 2011
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
option pricingnumerical diffusionfinite difference schemesCrank-Nicolson methodexponential fittingBlack-Scholes equationspurious oscillationsnon-smooth initial conditionsdiscounted payoff optionslow volatility optionsMilev-Tagliani method
Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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