High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (Q5433235)
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scientific article; zbMATH DE number 5224098
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing |
scientific article; zbMATH DE number 5224098 |
Statements
High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing (English)
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8 January 2008
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Black-Scholes PDE
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nonsmooth data
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nonsmooth pay-off
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Padé scheme
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parabolic problem
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positivity
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