Open AccessDG method for numerical option pricing under the merton short rate model
Author(s) -
Jiří Hozman,
Tomáš Tichý
Publication year - 2021
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/5.0041933
Subject(s) - finite difference methods for option pricing , valuation of options , partial differential equation , black–scholes model , mathematics , discretization , crank–nicolson method , mathematical optimization , mathematical analysis , econometrics , volatility (finance)
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