Exponential Rosenbrock integrators for option pricing
type: Item
instance of: scholarly article
title: Exponential Rosenbrock integrators for option pricing
zbMATH Open document ID: 1187.91226
author: Muhammad Asif Gondal
published in: Journal of Computational and Applied Mathematics
publication date: 2010-05-17T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M22
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5708965
zbMATH Keywords: exponential integrators
zbMATH Keywords: exponential Rosenbrock methods
zbMATH Keywords: American options
describes a project that uses: Matlab
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: j.cam.2009.06.015
OpenAlex ID: W2005915565
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DOI: 10.1016/J.CAM.2009.06.015
description: scientific article; zbMATH DE number 5708965