A practical finite difference method for the three-dimensional Black-Scholes equation
Junseok Kim, Taekkeun Kim, Jaehyun Jo, Yongho Choi, Seunggyu Lee, Hyeongseok Hwang, Minhyun Yoo, Darae Jeong
| Year of publication: |
2016
|
|---|---|
| Authors: | Kim, Junseok ; Kim, Taekkeun ; Jo, Jaehyun ; Choi, Yongho ; Lee, Seunggyu ; Hwang, Hyeongseok ; Yoo, Minhyun ; Jeong, Darae |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 252.2016, 1 (1.7.), p. 183-190
|
| Subject: | Option pricing | Equity-linked securities | Black-Scholes partial differential equation | Operator splitting method | Non-uniform grid | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011449164