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Crank – Nicolson Method
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European options
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Gauss method
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Gauss – Seidel method
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Jacobi method
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LU algorithm
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method of successive over-relaxations
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values of an option
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LUNGU, Ion
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MANOLE, Sorin
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Informatica Economica
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Determining European Options Values through Crank-Nicolson Method
MANOLE, Sorin
;
LUNGU, Ion
- In:
Informatica Economica
X
(
2006
)
2
,
pp. 143-149
implicit one, applying it leads to a linear system of equations, for whose solving the LU algorithm,
Gauss
method
, Jacobi …
Persistent link: https://www.econbiz.de/10009416706
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