On the acceleration of explicit finite difference methods for option pricing
Year of publication: |
2011
|
---|---|
Authors: | O'Sullivan, Stephen ; O'Sullivan, Conall |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 8, p. 1177-1191
|
Publisher: |
Taylor & Francis Journals |
Subject: | Numerical methods for option pricing | Black-Scholes model | Computational finance | Equity options | American options | Exotic options |
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