Accurate and efficient finite difference method for the black-scholes model with no far-field boundary conditions
Chaeyoung Lee, Soobin Kwak, Youngjin Hwang, Junseok Kim
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Chaeyoung ; Kwak, Soobin ; Hwang, Youngjin ; Kim, Junseok |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 3, p. 1207-1224
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| Subject: | Black-Scholes equation | Explicit algorithm | Option pricing | Pricing | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10242-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014252173