scientific article

zbMATH Open1150.91372MaRDI QIDQ3501674

Yaogu Huang

Publication date: 3 June 2008

Title of this publication is not available (Why is that?)

zbMATH Keywords

option pricingblock-tridiagonal matricesimplicit finite difference

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Title not available (Why is that?) ⋮ A two-grid penalty method for American options ⋮ Title not available (Why is that?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501674)