Spread option pricing using ADI methods (Q5374429)
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scientific article; zbMATH DE number 6936196
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Spread option pricing using ADI methods |
scientific article; zbMATH DE number 6936196 |
Statements
14 September 2018
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modified Craig-Sneyd
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alternating direction implicit method
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two-dimensional Black-Scholes
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American option
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spread option
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exchange option
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analytical approximation
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numerical PDE solution
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penalty iteration
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0.7874091267585754
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0.7798445224761963
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0.7707586884498596
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0.764600932598114
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0.763505220413208
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