An operator splitting method for multi-asset options with the Feynman-Kac formula (Q2693555): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.camwa.2023.01.019 / rank
 
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Latest revision as of 18:28, 31 July 2024

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An operator splitting method for multi-asset options with the Feynman-Kac formula
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    An operator splitting method for multi-asset options with the Feynman-Kac formula (English)
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    23 March 2023
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    option valuation
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    multi-dimensional Black-Scholes partial differential equation
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    operator splitting method
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    unconditional stability
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    Feynman-Kac formula
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    numerical techniques
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