Application of SWR algorithm in option pricing

DOI10.3969/J.ISSN.0490-6756.2019.01.007MaRDI QIDQ5196876zbMATH OpenFDO

Authors Guang He, X. J. Long

Publication date 20 September 2019

zbMATH Keywords

option pricingSchwarz waveform relaxation algorithmheat conduction equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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