Numerical techniques for the valuation of basket options and their Greeks
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Publication:5411505
DOI10.21314/JCF.2010.217zbMath1284.91572MaRDI QIDQ5411505
Corinna Hager, Stefan Hüeber, Barbara I. Wohlmuth
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2010.217
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
65K15: Numerical methods for variational inequalities and related problems
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