scientific article; zbMATH DE number 6311332

zbMath1299.91173MaRDI QIDQ4980500

Jiahui Yang, Yiwen Zhang, Zheng Wu

Publication date: 30 June 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

finite difference methodBlack-Scholes equationpricing modelEuler-Lagrange splitting schemeParisian option feature

Mathematics Subject Classification ID

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)

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