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Krylov methods
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Multivariate option pricing
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finite difference methods
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parallel Krylov methods
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KËLLEZI, Evis
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subject:"Finite difference method"
(13 results)
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Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
KËLLEZI, Evis
;
PAULETTO, Giorgio
-
Swiss Finance Institute
-
2001
, focusing on the use of the
finite
difference
methods
. We demonstrate that implicit methods, which have good convergence and …
Persistent link: https://www.econbiz.de/10005612061
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