Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions (Q5742507)
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scientific article; zbMATH DE number 7054595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions |
scientific article; zbMATH DE number 7054595 |
Statements
Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions (English)
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15 May 2019
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binomial tree model
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European option pricing
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diffusion partial differential equations
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finite difference scheme
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finite element scheme
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