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Found 5 Documents (Results 1–5)

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. (English) Zbl 07737856

Ehrhardt, Matthias (ed.) et al., Progress in industrial mathematics at ECMI 2021. Proceedings of the 21st European conference on mathematics for industry, ECMI 2021, Wuppertal, Germany, April 13–15, 2021. Selected and reviewed papers. Cham: Springer. Math. Ind. 39, 373-380 (2022).
MSC:  65-XX
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