An efficient method for solving spread option pricing problem: numerical analysis and computing

DOI10.1155/2016/1549492zbMath1470.91323WikidataQ59121502 ScholiaQ59121502MaRDI QIDQ1669206

Rafael Company, Lucas Jodar, Vera N. Egorova

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/1549492

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)