On the Stability of a Compact Finite Difference Scheme for Option Pricing
DOI10.1007/978-3-642-25100-9_25zbMath1246.91126OpenAlexW34340962MaRDI QIDQ2905430
Michel Fournié, Bertram Düring
Publication date: 27 August 2012
Published in: Mathematics in Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25100-9_25
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (3)
Cites Work
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