On splitting-based numerical methods for nonlinear models of European options (Q5739578)
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scientific article; zbMATH DE number 6604239
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On splitting-based numerical methods for nonlinear models of European options |
scientific article; zbMATH DE number 6604239 |
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On splitting-based numerical methods for nonlinear models of European options (English)
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19 July 2016
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option pricing
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nonlinear Black-Scholes model
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operator splitting
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difference scheme
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positivity preserving
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monotonicity
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