On the multidimensional Black-Scholes partial differential equation
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Publication:2288905
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Cited in
(30)- Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- Black-Scholes in a CEV random environment
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- \((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions
- On properties of solutions to Black-Scholes-Barenblatt equations
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- The forward Kolmogorov equation for two dimensional options
- Far field boundary conditions for Black-Scholes equations
- Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
- A mixed derivative terms removing method in multi-asset option pricing problems
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- On the Solution of the Black-Sholes Equation with Jump Process
- The homotopy perturbation method for the Black–Scholes equation
- A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL
- Multi-dimensional Black-Scholes model on foreign index contingent under random rate
- scientific article; zbMATH DE number 5139154 (Why is no real title available?)
- Valuation of performance-dependent options in a Black-Scholes framework
- Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
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- Derivation of multi-asset Black-Scholes differential equations
- An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
- Sparse spectral methods for solving high-dimensional and multiscale elliptic PDEs
- An efficient numerical approach for solving three-dimensional Black-Scholes equation with stochastic volatility
- Portfolios generated by contingent claim functions, with applications to option pricing
- A novel numerical method and its analysis for a two-dimensional time fractional Black-Scholes PDEs for European options
- Option pricing on multiple assets
- On a property of multidimensional normal distributions and its application to the computation of options
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