Space-time adaptive finite difference method for European multi-asset options (Q2468901)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Space-time adaptive finite difference method for European multi-asset options |
scientific article |
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Space-time adaptive finite difference method for European multi-asset options (English)
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30 January 2008
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Black-Scholes equation
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finite difference method
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space adaptation
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time adaptation
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maximum principle
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0.9099868
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0.8844199
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0.88382924
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0.8796917
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0.8767403
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0.8750739
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