High Order Compact Schemes for Option Pricing with Liquidity Shocks (Q4626511)
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scientific article; zbMATH DE number 7030708
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High Order Compact Schemes for Option Pricing with Liquidity Shocks |
scientific article; zbMATH DE number 7030708 |
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High Order Compact Schemes for Option Pricing with Liquidity Shocks (English)
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28 February 2019
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European option
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numerical pricing
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liquidity shocks
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high order compact schemes
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