A quick operator splitting method for option pricing (Q2074881)
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scientific article; zbMATH DE number 7472428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A quick operator splitting method for option pricing |
scientific article; zbMATH DE number 7472428 |
Statements
A quick operator splitting method for option pricing (English)
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11 February 2022
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ADI operator-splitting
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finite difference method for partial differential equation
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preservation of convexity
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removing of cross derivative term
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