ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION (Q3467649)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION |
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ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION (English)
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4 February 2016
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multi-dimensional Black-Scholes equations
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operator splitting method
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extrapolation
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linear boundary condition
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high correlation
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