American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458): Difference between revisions

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Latest revision as of 16:20, 20 July 2024

scientific article; zbMATH DE number 7116178
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English
American-type basket option pricing: a simple two-dimensional partial differential equation
scientific article; zbMATH DE number 7116178

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    American-type basket option pricing: a simple two-dimensional partial differential equation (English)
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    11 October 2019
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    Black-Scholes
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    basket options
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    pricing and hedging
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    comonotonicity
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    partial differential equations
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    finite difference method
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    least-squares Monte Carlo
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