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DOI10.3969/J.ISSN.0490-6756.2017.05.008zbMath1399.91138MaRDI QIDQ3175555

Dingqi Yan, Yu Zhang, Pei Cheng

Publication date: 18 July 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

partial differential equation discrete barrier option Brownian model Romberg solution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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