On splitting-based numerical methods for nonlinear models of European options.

Miglena N. Koleva Lubin G. Vulkov

Published in: Int. J. Comput. Math. (2016)

Keyphrases

numerical methods
nonlinear models
linear model
differential equations
statistical models
partial differential equations
linear models
logistic regression
level set method
finite difference method
option pricing
machine learning
statistical model
decision process
decision making
control law