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finite difference method
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Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance
Naumann, Uwe
;
Du Toit, Jacques
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 23-57
Persistent link: https://www.econbiz.de/10011848395
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The stability analysis of predictor-corrector method in solving American option pricing model
Kalantari, R.
;
Shahmorad, S.
;
Ahmadian, D.
- In:
Computational economics
47
(
2016
)
2
,
pp. 255-274
Persistent link: https://www.econbiz.de/10011712341
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3
Swing options in commodity markets : a multidimensional Lévy diffusion model
Eriksson, Marcus
;
Lempa, Jukka
;
Nilssen, Trygve Kastberg
- In:
Mathematical methods of operations research
79
(
2014
)
1
,
pp. 31-67
Persistent link: https://www.econbiz.de/10010347962
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