scientific article; zbMATH DE number 6453876
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Publication:5260516
zbMATH Open1324.91075MaRDI QIDQ5260516
Publication date: 29 June 2015
Title of this publication is not available (Why is that?)
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Compact finite difference method for American option pricing ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
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