Numerical valuation of Bermudan basket options via partial differential equations (Q5031294)
From MaRDI portal
![]() | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Numerical valuation of Bermudan basket options via partial differential equations |
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 |
Statements
Numerical valuation of Bermudan basket options via partial differential equations (English)
0 references
18 February 2022
0 references
Bermudan basket options
0 references
principal component analysis
0 references
finite differences
0 references
ADI scheme
0 references
stability
0 references
convergence
0 references
0 references
0 references