An improvement of the douglas scheme for the Black-Scholes equation
A well-known finite difference scheme for the valuation of options from the Black-Sholes equation is the Crank-Nicolson scheme. However, in the case of non-smoothpayoffs, the Crank-Nicolson scheme is known to produce unwanted oscillations forthe computed solution. As an alternative, Douglas scheme i...
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| Format: | Artigo |
| Sprog: | Inglês |
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Elsevier
2015-09-01
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| Serier: | Kuwait Journal of Science |
| Fag: | |
| Online adgang: | http://journals.ku.edu.kw/kjs/index.php/KJS/article/view/343 |
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