Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets

DOI10.1016/j.matcom.2024.01.020arXiv2211.13890OpenAlexW4391418546WikidataQ128964220 ScholiaQ128964220MaRDI QIDQ6129482

Kateřina Fiňková, Dana Černá

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.13890

zbMATH Keywords

condition numbersparse gridBlack-Scholes modelwavelet-Galerkin methodEuropean optionorthogonal spline wavelet

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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