A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864): Difference between revisions
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| Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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| Property / zbMATH DE Number: 6636209 / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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equity-linked securities | |||
| Property / zbMATH Keywords: equity-linked securities / rank | |||
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Black-Scholes partial differential equation | |||
| Property / zbMATH Keywords: Black-Scholes partial differential equation / rank | |||
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operator splitting method | |||
| Property / zbMATH Keywords: operator splitting method / rank | |||
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non-uniform grid | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.012 / rank | |||
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Latest revision as of 23:45, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A practical finite difference method for the three-dimensional Black-Scholes equation |
scientific article |
Statements
A practical finite difference method for the three-dimensional Black-Scholes equation (English)
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7 October 2016
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option pricing
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equity-linked securities
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Black-Scholes partial differential equation
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operator splitting method
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non-uniform grid
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