A comparison study of ADI and operator splitting methods on option pricing models (Q1946200)
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scientific article; zbMATH DE number 6155447
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison study of ADI and operator splitting methods on option pricing models |
scientific article; zbMATH DE number 6155447 |
Statements
A comparison study of ADI and operator splitting methods on option pricing models (English)
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18 April 2013
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Black-Scholes equation
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finite difference method
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option pricing
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comparison study
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alternating direction implicit method
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operator splitting method
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