A high-order finite difference method for option valuation.
Mehzabeen Jumanah DillooDésiré Yannick TangmanPublished in: Comput. Math. Appl. (2017)
Keyphrases
- high order
- finite difference method
- partial differential equations
- real option
- higher order
- heat equation
- low order
- numerical methods
- anisotropic diffusion
- numerical solution
- pairwise
- fourth order
- finite element model
- finite difference
- finite element method
- lower order
- markov random field
- differential equations
- curve evolution
- image denoising
- natural images
- tensor analysis
- bayesian logistic regression