A mixed derivative terms removing method in multi-asset option pricing problems (Q289274)
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scientific article; zbMATH DE number 6586977
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| English | A mixed derivative terms removing method in multi-asset option pricing problems |
scientific article; zbMATH DE number 6586977 |
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A mixed derivative terms removing method in multi-asset option pricing problems (English)
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30 May 2016
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multiasset option pricing
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multidimensional partial differential equations
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mixed derivative terms
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\(LDL^T\) factorization
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Bunch-Kaufman factorization
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0.7587788105010986
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0.7253378033638
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0.7166050672531128
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0.7134096026420593
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0.7091116309165955
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