Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
Crossref DOI link: https://doi.org/10.1007/s10287-021-00394-9
Published Online: 2021-04-01
Published Print: 2021-06
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Ballestra, Luca Vincenzo http://orcid.org/0000-0001-7205-6319
Funding for this research was provided by:
Alma Mater Studiorum - Università di Bologna
Text and Data Mining valid from 2021-04-01
Version of Record valid from 2021-04-01
Article History
Received: 9 May 2018
Accepted: 11 March 2021
First Online: 1 April 2021