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High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids.
Bertram Düring
Michel Fournié
Christof Heuer
Published in:
J. Comput. Appl. Math. (2014)
Keyphrases
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high order
finite difference
higher order
option pricing
stock price
pairwise
partial differential equations
markov random field
finite element
decision making
objective function
historical data
life cycle
numerical analysis
numerical solution
machine learning
level set
computer vision