Tiberiu, Socaciu; Mirela, Danubianu; Ioan, Maxim; … - In: Annals of Faculty of Economics 4 (2009) 1, pp. 1044-1048
In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a
