An integration preconditioning method for solving option pricing problems
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Publication:5031225
DOI10.1080/00207160.2020.1746960OpenAlexW3013712876MaRDI QIDQ5031225
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Publication date: 18 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2020.1746960
stabilityradial basis functionsquadrature formulaswell-conditionedintegration preconditioning methodmulti-asset Black-Scholes equation
Numerical solutions to stochastic differential and integral equations (65C30) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)
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Generalized finite integration method with space-time decomposition technique for solving high dimensional option pricing models ⋮ High order approximation of derivatives with applications to pricing of financial derivatives
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Cites Work
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