Predictor-corrector balance method for the worst-case 1D option pricing

DOI10.1515/cmam-2015-0029zbMath1329.91144OpenAlexW2566841483MaRDI QIDQ901423

Radoslav L. Valkov

Publication date: 12 January 2016

Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/cmam-2015-0029

zbMATH Keywords

option pricinguncertain parametersbalance methodpredictor-corrector time stepping

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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