A comparison study of ADI and operator splitting methods on option pricing models
type: Item
instance of: scholarly article
title: A comparison study of ADI and operator splitting methods on option pricing models
zbMATH Open document ID: 1270.91096
author: Darae Jeong
author: Junseok Kim
published in: Journal of Computational and Applied Mathematics
publication date: 2013-04-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 6155447
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: finite difference method
zbMATH Keywords: option pricing
zbMATH Keywords: comparison study
zbMATH Keywords: alternating direction implicit method
zbMATH Keywords: operator splitting method
MaRDI profile type: Publication
full work available at URL: j.cam.2013.01.008
OpenAlex ID: W2148090065
DOI: 10.1016/J.CAM.2013.01.008
description: scientific article; zbMATH DE number 6155447