scientific article; zbMATH DE number 5167261

zbMath1292.91189MaRDI QIDQ5293092

Guang-Hui Wang, Yangguo Liu, Xiao-zhong Yang

Publication date: 26 June 2007

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

zbMATH Keywords

convergence analysiserror estimateBlack-Scholes equationoption pricing, universal difference schemes

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 (1)

A new kind of parallel finite difference method for the quanto option pricing model

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