A fourth-order smoothing scheme for pricing barrier options under stochastic volatility.
Muhammad YousufPublished in: Int. J. Comput. Math. (2009)
Keyphrases
- fourth order
- noise removal
- nonlinear diffusion
- option pricing
- partial differential equations
- financial markets
- high order
- anisotropic diffusion
- stock price
- image interpolation
- noise reduction
- denoising
- edge preservation
- diffusion equation
- stock market
- image enhancement
- estimation error
- image reconstruction
- sample size
- level set
- edge detection
- higher order
- smooth regions
- multiscale
- black scholes model