Publication:5039647

DOI10.7468/jksmeb.2021.28.4.329zbMath1501.91181MaRDI QIDQ5039647

Junseok Kim, Yongho Choi, Hyeongseok Hwang, Sangkwon Kim, Soobin Kwak, Youngjin Hwang

Publication date: 30 September 2022

zbMATH Keywords

finite difference scheme; Black-Scholes equation; equity-linked securities; four underlying asset ELS

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.)