A hybrid Monte Carlo and finite difference method for option pricing
Darae Jeong, Minhyun Yoo, Changwoo Yoo, Junseok Kim
| Year of publication: |
2019
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|---|---|
| Authors: | Jeong, Darae ; Yoo, Minhyun ; Yoo, Changwoo ; Kim, Junseok |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 1, p. 111-124
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| Subject: | Black-Scholes equation | Boundary condition | Finite difference method | Monte Carlo simulation | Option pricing | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |