On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

  1. Wade, B.A.
  2. Khaliq, A.Q.M.
  3. Yousuf, M.
  4. Vigo-Aguiar, J.
  5. Deininger, R.
Journal:
Journal of Computational and Applied Mathematics

ISSN: 0377-0427

Year of publication: 2007

Volume: 204

Issue: 1

Pages: 144-158

Type: Article

DOI: 10.1016/J.CAM.2006.04.034 GOOGLE SCHOLAR lock_openOpen access editor
Data source: Scopus