Talks and Poster Presentations (without Proceedings-Entry):
B. Düring:
"High order compact finite differences for option pricing";
Talk: ECMI 2010, 16-th European Conference on Mathematics for Industry,
Wuppertal (invited);
2010-07-26
- 2010-07-30.
English abstract:
We derive compact high-order finite difference scheme for option pricing in fully nonlinear Black-Scholes and stochastic volatility models. We prove their unconditional stabillity and convergence and present numerical results for the European and American option pricing problem.
German abstract:
s. engl. Abstract
Related Projects:
Project Head Bertram Düring:
Kinetische Vermögensverteilungsmodelle und diffusive Grenzwert-Gleichungen
Created from the Publication Database of the Vienna University of Technology.