A mixed derivative terms removing method in multi-asset option pricing problems
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Publication:289274
DOI10.1016/j.aml.2016.04.011zbMath1342.35400MaRDI QIDQ289274
Fazlollah Soleymani, Rafael Company, Lucas Jodar, Vera N. Egorova
Publication date: 30 May 2016
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2016.04.011
\(LDL^T\) factorization; Bunch-Kaufman factorization; mixed derivative terms; multiasset option pricing; multidimensional partial differential equations
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