An integration preconditioning method for solving option pricing problems (Q5031225)
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scientific article; zbMATH DE number 7476569
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integration preconditioning method for solving option pricing problems |
scientific article; zbMATH DE number 7476569 |
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An integration preconditioning method for solving option pricing problems (English)
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18 February 2022
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multi-asset Black-Scholes equation
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integration preconditioning method
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quadrature formulas
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radial basis functions
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well-conditioned
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stability
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