Matrix-based numerical modelling of financial differential equations

DOI10.1504/IJMMNO.2009.030089zbMath1183.91186MaRDI QIDQ2655890

Juho Kanniainen, Robert Piché

Publication date: 26 January 2010

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

zbMATH Keywords

option pricingmethod of linesAmerican optionsfinite differenceRunge-Kuttadifferentiation matrixChebyshev spectral collocationoptimal shutdown

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (4)

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Uses Software

• Differentiation Matrix Suite

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