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Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models.
Bertram Düring
Christof Heuer
Published in:
CoRR (2021)
Keyphrases
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high order
finite difference
option pricing
higher order
stock price
partial differential equations
bayesian logistic regression
finite element
historical data
pairwise
stock market
numerical analysis
machine learning
image denoising
decision analysis
dynamical systems
markov random field