Numerical valuation of Bermudan basket options via partial differential equations (Q5031294)
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scientific article; zbMATH DE number 7476627
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical valuation of Bermudan basket options via partial differential equations |
scientific article; zbMATH DE number 7476627 |
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Numerical valuation of Bermudan basket options via partial differential equations (English)
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18 February 2022
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Bermudan basket options
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principal component analysis
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finite differences
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ADI scheme
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stability
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convergence
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