The damped Crank-Nicolson time-marching scheme for the adaptive solution of the Black-Scholes equation
Christian Goll, Rolf Rannacher and Winnifried Wollner
Year of publication: |
June 2015
|
---|---|
Authors: | Goll, Christian ; Rannacher, Rolf ; Wollner, Winnifried |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2015, 4, p. 1-37
|
Subject: | Black-Scholes equation | space-time finite elements | damped Crank-Nicolson method | goal-oriented adaptivity | DWR method | adjoint consistent | Theorie | Theory | Black-Scholes-Modell | Black-Scholes model |
Saved in:
Saved in favorites
Similar items by subject
-
Evaluation of options using the Black-Scholes methodology
Brătian, Vasile, (2019)
-
A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae, (2019)
-
Fadugba, Sunday Emmanuel, (2018)
- More ...
Similar items by person