High order compact finite difference schemes for a nonlinear black-scholes equation
Bertram Düring; Michel Fournié; Ansgar Jüngel
| Year of publication: |
2003
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|---|---|
| Authors: | Düring, Bertram ; Fournié, Michel ; Jüngel, Ansgar |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 6.2003, 7, p. 767-789
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| Subject: | Black-Scholes-Modell | Black-Scholes model | Nichtlineare Optimierung | Nonlinear programming | Hedging | Transaktionskosten | Transaction costs | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001820885