Limitations and improvements of standard spectral methods for pricing standard options
type: Item
instance of: scholarly article
title: Limitations and improvements of standard spectral methods for pricing standard options
zbMATH Open document ID: 1342.91043
author: E. Ngounda
author: Kailash C. Patidar
published in: International Journal of Advances in Engineering Sciences and Applied Mathematics
publication date: 2016-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6608620
zbMATH Keywords: American options
zbMATH Keywords: spectral methods
zbMATH Keywords: Laplace transform
zbMATH Keywords: contour integrals
zbMATH Keywords: exponential time differencing
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: s12572-015-0140-3
OpenAlex ID: W1181484598
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DOI: 10.1007/S12572-015-0140-3
description: scientific article; zbMATH DE number 6608620