A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864)
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scientific article; zbMATH DE number 6636209
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| English | A practical finite difference method for the three-dimensional Black-Scholes equation |
scientific article; zbMATH DE number 6636209 |
Statements
A practical finite difference method for the three-dimensional Black-Scholes equation (English)
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7 October 2016
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option pricing
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equity-linked securities
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Black-Scholes partial differential equation
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operator splitting method
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non-uniform grid
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0.8476134538650513
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0.8273935914039612
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0.8180956244468689
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0.8044501543045044
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