A numerical method to approximate multi-asset option pricing under exponential Lévy model
Leila Khodayari, Mojtaba Ranjbar
| Year of publication: |
August 2017
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|---|---|
| Authors: | Khodayari, Leila ; Ranjbar, Mojtaba |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 2, p. 189-205
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| Subject: | Radial basis functions | Differential quadrature | Multi-asset option pricing | Lévy process | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9605-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762378