Stability of ADI Schemes with Applications in FX Options Pricing

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：kinglesssss

【摘要】

：

　　Alternating direction implicit(ADI)schemes are popular among practitioners for numerically solving financial option pricing equations.The Modified Craig-Sne

【作者】

：

MISHRA Chittaranjan

【机构】

：

IIT Ropar

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Alternating direction implicit(ADI)schemes are popular among practitioners for numerically solving financial option pricing equations.The Modified Craig-Sneyd scheme is one such ADI scheme that is very efficient in handling the task at hand.

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Stability of ADI Schemes with Applications in FX Options Pricing

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