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Items where Greenwich Author is "Rout, Sweta"

Items where Greenwich Author is "Rout, Sweta"

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Jump to: option pricing, Black-Scholes equation, finite-difference schemes, nonlinear volatility 1. INTRODUCTION | semi-Lagrange time integration, Asian American Options, finite difference, coordinate transformation
Number of items: 2.

option pricing, Black-Scholes equation, finite-difference schemes, nonlinear volatility 1. INTRODUCTION

Lai, C.-H. ORCID logoORCID: https://orcid.org/0000-0002-7558-6398, Parrott, A.K., Rout, S. and Honnor, M.E. (2005) A distributed algorithm for European options with nonlinear volatility. Computers & Mathematics with Applications, 49 (5-6). pp. 885-894. ISSN 0898-1221 (doi:10.1016/j.camwa.2004.03.014)

semi-Lagrange time integration, Asian American Options, finite difference, coordinate transformation

Parrott, Kevin and Rout, Sweta (2006) Semi-Lagrange time integration for PDE models of asian options. Progress in Industrial Mathematics at ECMI 2004. Mathematics in Industry, 8 . Springer Berlin / Heidelberg, Berlin, pp. 432-436. ISBN 9783540280729 (doi:10.1007/3-540-28073-1)

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