Efficient conservative second-order central-upwind schemes for option-pricing problems
Omishwary Bhatoo, Arshad Ahmud Iqbal Peer, Eitan Tadmor, Désiré Yannick Tangman and Aslam Aly El Faidal Saib
| Year of publication: |
2019
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|---|---|
| Authors: | Bhatoo, Omishwary ; Peer, Arshad Ahmud Iqbal ; Tadmor, Eitan ; Tangman, Désiré Yannick ; Saib, Aslam Aly El Faidal |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018/2019, 5, p. 71-101
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| Subject: | Black-Scholes partial differential equations (PDEs) | central-upwind schemes | non-oscillatory reconstructions | American options | Asian options | barrier options | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.363 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012042237