Numerical pricing of options using high-order compact finite difference schemes (Q932713)
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scientific article; zbMATH DE number 5300699
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical pricing of options using high-order compact finite difference schemes |
scientific article; zbMATH DE number 5300699 |
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Numerical pricing of options using high-order compact finite difference schemes (English)
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11 July 2008
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European options
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American options
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high-order compact scheme
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grid stretching
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front fixing
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Black-Scholes PDE
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