A hybrid method for pricing European options based on multiple assets with transaction costs (Q4541569)
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scientific article; zbMATH DE number 1771965
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A hybrid method for pricing European options based on multiple assets with transaction costs |
scientific article; zbMATH DE number 1771965 |
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A hybrid method for pricing European options based on multiple assets with transaction costs (English)
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4 September 2002
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European options
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nonlinear parabolic partial differential equation
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transaction costs
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implicit finite-difference scheme
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Fourier sine transform
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