Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (Q6664909)
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scientific article; zbMATH DE number 7968713
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods |
scientific article; zbMATH DE number 7968713 |
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Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (English)
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16 January 2025
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partial integro-differential equations
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a posteriori error estimate
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implicit-explicit time discretization
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finite difference method
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European option pricing
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jump-diffusion model
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time-space adaptivity
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