An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems (Q6632418)
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scientific article; zbMATH DE number 7938406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems |
scientific article; zbMATH DE number 7938406 |
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An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems (English)
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4 November 2024
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Richardson extrapolation
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Newton linearization technique
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multi-asset Black-Scholes equation
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Heston model
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finite difference scheme
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option pricing
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