High-order Numerical Method for Generalized Black-Scholes Model.
S. Chandra Sekhara Rao ManishaPublished in: ICCS (2016)
Keyphrases
- high order
- numerical methods
- partial differential equations
- black scholes
- black scholes model
- higher order
- differential equations
- pairwise
- low order
- finite element method
- boundary element method
- numerical solution
- option pricing
- level set method
- bayesian logistic regression
- decision making
- tensor analysis
- energy functional
- markov random field
- multiresolution
- multiscale