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Conservative third-order central-upwind schemes for option pricing problems - MaRDI portal

Conservative third-order central-upwind schemes for option pricing problems (Q2296246)

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Conservative third-order central-upwind schemes for option pricing problems
scientific article

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    title
    Conservative third-order central-upwind schemes for option pricing problems (English)
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    author
    Omishwary Bhatoo
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    Eitan Tadmor
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    publication date
    17 February 2020
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    Mathematics Subject Classification ID
    91G60
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    65M08
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    91G20
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    35Q91
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    65D32
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    zbMATH DE Number
    7168494
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    zbMATH Keywords
    conservative central-upwind schemes
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    CWENO reconstruction
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    Black-Scholes PDEs
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    nonlinear PDE
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    two-dimensional PDE
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    CEV model
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    describes a project that uses
    MATLAB ODE suite
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    ode23s
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    BENCHOP
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    Matlab
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    ode23
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    ode45
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    Ode15s
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    ode113
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    CentPack
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    OpenAlex ID
    W2966436344
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    cites work
    Q4905685
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    The MATLAB ODE Suite
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