A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A practical finite difference method for the three-dimensional Black-Scholes equation |
scientific article |
Statements
A practical finite difference method for the three-dimensional Black-Scholes equation (English)
0 references
7 October 2016
0 references
option pricing
0 references
equity-linked securities
0 references
Black-Scholes partial differential equation
0 references
operator splitting method
0 references
non-uniform grid
0 references
0 references
0 references
