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Compact finite difference scheme for option pricing in Heston's model

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posted on 2023-06-26, 07:13 authored by Bertram Duering, Michel Fournié
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History

Publication status

  • Published

Publisher

American Institute of Physics (AIP)

Page range

219-222

Pages

4

Presentation Type

  • paper

Event name

ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010

Event location

Rhodes, Greece

Event type

conference

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Editors

G Psihoyios, C Tsitouras, TE Simos

Legacy Posted Date

2012-02-06

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