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Option pricing
Option pricing theory
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Optionspreistheorie
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Black-Scholes model
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Black-Scholes-Modell
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Derivat
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Finite difference
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Kim, Junseok
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Jeong, Darae
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Lee, Chaeyoung
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Hwang, Hyeongseok
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1
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Computational economics
3
European journal of operational research : EJOR
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ECONIS (ZBW)
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A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok
;
Kim, Taekkeun
;
Jo, Jaehyun
;
Choi, Yongho
; …
- In:
European journal of operational research : EJOR
252
(
2016
)
1
,
pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
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2
A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae
;
Yoo, Minhyun
;
Yoo, Changwoo
;
Kim, Junseok
- In:
Computational economics
53
(
2019
)
1
,
pp. 111-124
Persistent link: https://www.econbiz.de/10012134544
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3
Fast Monte Carlo simulation for pricing equity-linked securities
Jang, Hanbyeol
;
Kim, Sangkwon
;
Han, Junhee
;
Lee, Seongjin
; …
- In:
Computational economics
56
(
2020
)
4
,
pp. 865-882
Persistent link: https://www.econbiz.de/10012390481
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4
Accurate and efficient finite difference method for the black-scholes model with no far-field boundary conditions
Lee, Chaeyoung
;
Kwak, Soobin
;
Hwang, Youngjin
;
Kim, Junseok
- In:
Computational economics
61
(
2023
)
3
,
pp. 1207-1224
Persistent link: https://www.econbiz.de/10014252173
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