IMEX schemes for a parabolic-ODE system of European options with liquidity shocks (Q5962602)
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scientific article; zbMATH DE number 6541532
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IMEX schemes for a parabolic-ODE system of European options with liquidity shocks |
scientific article; zbMATH DE number 6541532 |
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IMEX schemes for a parabolic-ODE system of European options with liquidity shocks (English)
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15 February 2016
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parabolic-ordinary system
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European options
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finite difference scheme
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comparison principle
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positivity
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