Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets (Q6129482)
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scientific article; zbMATH DE number 7833543
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| English | Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets |
scientific article; zbMATH DE number 7833543 |
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Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets (English)
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17 April 2024
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Black-Scholes model
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European option
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orthogonal spline wavelet
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sparse grid
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wavelet-Galerkin method
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condition number
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0.8078346848487854
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0.7865020036697388
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0.7822901606559753
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0.779060423374176
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