Exponential Time Differencing With Runge-Kutta Time Stepping for Convectively Dominated Financial Problems

  • Désiré Yannick Tangman
  • Ashvin Gopaul
  • Muddun Bhuruth
Keywords: Exponential time integrators, Runge-Kutta, Option pricing, TVD discretisations

Abstract

No Abstract
Published
2016-02-26
Section
Articles

Journal Identifiers


eISSN: 1694-0342