High order method for Black-Scholes PDE (Q1732487)
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scientific article; zbMATH DE number 7041117
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High order method for Black-Scholes PDE |
scientific article; zbMATH DE number 7041117 |
Statements
High order method for Black-Scholes PDE (English)
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25 March 2019
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option pricing
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Black-Scholes formula
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compact difference scheme
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backward differentiation formula
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grid refinement method
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0.9566585
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0.90951216
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0.9012315
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0.89647484
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0.8937177
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0.8934077
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0.8924633
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