A high-order finite difference method for option valuation (Q1705003)
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scientific article; zbMATH DE number 6849847
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A high-order finite difference method for option valuation |
scientific article; zbMATH DE number 6849847 |
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A high-order finite difference method for option valuation (English)
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14 March 2018
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high-order scheme
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local mesh refinement
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exponential time integration
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Merton's jump-diffusion model
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Heston's stochastic volatility model
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nonlinear Black-Scholes equation
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