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A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme - MaRDI portal

A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646)

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scientific article; zbMATH DE number 7476031
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English
A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme
scientific article; zbMATH DE number 7476031

    Statements

    title
    A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (English)
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    author
    Chittaranjan Mishra
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    Xiaoping Lu
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    publication date
    17 February 2022
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    zbMATH Keywords
    foreign exchange options
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    convection-diffusion equations
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    initial-boundary value problems
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    ADI schemes
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    stability
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    cites work
    Q3433874
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    Q5734699
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    Q4421310
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    Q4913890
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    Q2763689
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M06
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    35K20
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    65M12
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    91G20
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    zbMATH DE Number
    7476031
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    OpenAlex ID
    W2943862929
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    Wikidata QID
    Q127907018
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