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Search: subject:"Lie-Trotter Operator Splitting Method"
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Black-Scholes model
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Option pricing theory
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Analysis of variance
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Black-Scholes Equation
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Constant elasticity of variance model
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Derivat
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Kirk's Approximation
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Lie-Trotter Operator Splitting Method
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Lie-Trotter operator splitting method
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Lo, C. F.
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Lo, Chi-fai
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Zheng, X. F.
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International journal of financial engineering
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Journal of mathematical finance
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ECONIS (ZBW)
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A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
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2
A simple generalisation of Kirk's approximation for multi-asset spread options by the
Lie-Trotter
operator
splitting
method
Lo, Chi-fai
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 178-187
Persistent link: https://www.econbiz.de/10010400107
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