On the multidimensional Black-Scholes partial differential equation (Q2288905)
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scientific article; zbMATH DE number 7153538
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| English | On the multidimensional Black-Scholes partial differential equation |
scientific article; zbMATH DE number 7153538 |
Statements
On the multidimensional Black-Scholes partial differential equation (English)
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20 January 2020
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Black-Scholes multidimensional equation
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multiasset option
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dimension
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parabolic
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mixed derivative
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multivariate normal distribution
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heat equation
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option on the maximum
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double barrier
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0.9243797
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0.91788965
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0.91432524
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0.9033166
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0.89741266
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0.8951231
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0.8942091
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