Solving finite difference schemes arising in trivariate option pricing. (Q1605207)
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scientific article; zbMATH DE number 1768100
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving finite difference schemes arising in trivariate option pricing. |
scientific article; zbMATH DE number 1768100 |
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Solving finite difference schemes arising in trivariate option pricing. (English)
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15 July 2002
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multivariate option pricing
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finite difference methods
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implicit methods
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Krylov methods
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parallel computing
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