High-order exponential spline method for pricing European options
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Publication:4646565
DOI10.1080/10236198.2018.1543414zbMath1419.91653OpenAlexW2900683262WikidataQ115550413 ScholiaQ115550413MaRDI QIDQ4646565
Publication date: 14 January 2019
Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10236198.2018.1543414
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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