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A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets.

Rafael CompanyLucas JódarJosé Ramón Pintos
Published in: Math. Comput. Simul. (2012)
Keyphrases
  • prior knowledge
  • high order
  • numerical scheme
  • optical flow
  • probabilistic model
  • fixed point
  • sensitivity analysis
  • differential equations
  • finite difference