High-order time stepping scheme for pricing American option under bates model
Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Finite difference methods for boundary value problems involving PDEs (65N06) Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- scientific article; zbMATH DE number 1967777 (Why is no real title available?)
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