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Year of publication
Subject
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Krylov methods 1 Multivariate option pricing 1 finite difference methods 1 parallel Krylov methods 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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KËLLEZI, Evis 1 PAULETTO, Giorgio 1
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Swiss Finance Institute 1
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FAME Research Paper Series 1
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RePEc 1
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Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
KËLLEZI, Evis; PAULETTO, Giorgio - Swiss Finance Institute - 2001
This paper investigates computational and implementation issues for the valuation of options on three underlying assets, focusing on the use of the finite difference methods. We demonstrate that implicit methods, which have good convergence and stability prooperties, can now be implemented...
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