Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
type: Item
instance of: scholarly article
title: Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
published in: Computational Management Science
publication date: 2021-11-24T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7432768
zbMATH Keywords: double barrier option
zbMATH Keywords: mesh optimization
zbMATH Keywords: Richardson extrapolation
zbMATH Keywords: high-order accuracy
zbMATH Keywords: finite difference method
Wikidata QID: Q114228068
author: Luca Vincenzo Ballestra
MaRDI profile type: Publication
full work available at URL: s10287-021-00394-9
OpenAlex ID: W3142536365
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DOI: 10.1007/S10287-021-00394-9
description: scientific article; zbMATH DE number 7432768