Small dimension PDE for discrete Asian options (Q951412)
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scientific article; zbMATH DE number 5356656
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Small dimension PDE for discrete Asian options |
scientific article; zbMATH DE number 5356656 |
Statements
Small dimension PDE for discrete Asian options (English)
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24 October 2008
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discrete Asian option
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homogeneity
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PDEs
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Crank-Nicholson
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non-proportional dividends
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smile
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0.8263073563575745
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0.8176587224006653
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0.8108938932418823
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0.8071132302284241
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0.8066850900650024
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