Verfahren höherer Ordnung
Author:
Publisher
Springer Fachmedien Wiesbaden
Link
https://link.springer.com/content/pdf/10.1007/978-3-658-39210-9_14
Reference6 articles.
1. N. Cai, Y. Song, and Chen N. Exact Simulation of the SABR Model. Operations Research, 65(4):931–951, 2017.
2. B. Düring and Ch. Heuer. Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids. In M. Ehrhardt, M. Günther, and E.J.W. ter Maten, editors, Novel Methods in Computional Finance, chapter 17, pages 313–331. Springer, 2017.
3. P. S. Hagan, D. Kumar, A. S Lesniewski, and D. E. Woodward. Managing Smile Risk. Wilmott Magazine, pages 84–108, 2002.
4. A. Q. M. Khaliq, J. Martín-Vaquero, B. A. Wade, and M. Yousuf. Smoothing schemes for reaction systems with nonsmooth data. Journal of Computational and Applied Mathematics, (223):374–386, 2009.
5. M.J. Ruijter and C.W.. Oosterlee. Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. SIAM Journal of Scientific Computing, 34(5):B642–B671, 2012.
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