Multi-factor financial derivatives on finite domains

DOI10.4310/CMS.2003.V1.N2.A8MaRDI QIDQ2583443zbMATH OpenOpenAlexFDO

Authors You-lan Zhu, Jin-liang Li

Publication date 16 January 2006

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.cms/1118152075

Mathematics Subject Classification ID

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

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(3)

• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• Inflation, central bank and short-term interest rates: a new model with calibration to market data
• On sparse grid interpolation for American option pricing with multiple underlying assets

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