A mixed derivative terms removing method in multi-asset option pricing problems (Q289274)
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scientific article; zbMATH DE number 6586977
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A mixed derivative terms removing method in multi-asset option pricing problems |
scientific article; zbMATH DE number 6586977 |
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A mixed derivative terms removing method in multi-asset option pricing problems (English)
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30 May 2016
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multiasset option pricing
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multidimensional partial differential equations
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mixed derivative terms
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\(LDL^T\) factorization
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Bunch-Kaufman factorization
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