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scientific article; zbMATH DE number 7366910 - MaRDI portal

scientific article; zbMATH DE number 7366910

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Publication:4996826

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zbMath1474.65312MaRDI QIDQ4996826

Wei Zheng, Xiaole Zhang, Xiao-Ting Gan

Publication date: 1 July 2021

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

zbMATH Keywords

option pricing regime switching Crank-Nicolson scheme fitted finite volume method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Finite volume methods for boundary value problems involving PDEs (65N08)

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