American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458)
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scientific article; zbMATH DE number 7116178
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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