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High-order ADI scheme for option pricing in stochastic volatility models

Bertram Düring, James A. Miles
Year2016
VenueJournal of Computational and Applied Mathematics
Typearticle
Citations17
DOI10.1016/j.cam.2016.09.040
OpenAlexW2191169687

Topics

Stochastic processes and financial applicationsStochastic volatilityVolatility (finance)Implied volatilityEconometricsOrder (exchange)