An operator splitting method for multi-asset options with the Feynman-Kac formula (Q2693555)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An operator splitting method for multi-asset options with the Feynman-Kac formula |
scientific article |
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An operator splitting method for multi-asset options with the Feynman-Kac formula (English)
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23 March 2023
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option valuation
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multi-dimensional Black-Scholes partial differential equation
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operator splitting method
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unconditional stability
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Feynman-Kac formula
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numerical techniques
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