Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation (Q3467649)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6538983
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation |
scientific article; zbMATH DE number 6538983 |
Statements
ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION (English)
0 references
4 February 2016
0 references
multi-dimensional Black-Scholes equations
0 references
operator splitting method
0 references
extrapolation
0 references
linear boundary condition
0 references
high correlation
0 references
0.8206263780593872
0 references
0.7959190011024475
0 references
0.7637787461280823
0 references
0.744610607624054
0 references
0.7416642308235168
0 references
