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High-order compact finite difference scheme for option pricing in stochastic volatility models.

Bertram DüringMichel Fournié
Published in: J. Comput. Appl. Math. (2012)
Keyphrases
  • high order
  • higher order
  • finite difference
  • option pricing
  • partial differential equations
  • bayesian logistic regression
  • stock price
  • pairwise
  • finite element
  • markov random field
  • historical data
  • numerical solution