In this paper, we are concerned with the time integration of differential equations modeling option pricing. In particular, we consider the Black-Scholes equation for American options. As an alternative to existing methods, we present exponential Rosenbrock integrators. These integrators require the
Implementation of exponential Rosenbrock-type integrators
✍ Scribed by Marco Caliari; Alexander Ostermann
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 882 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0168-9274
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