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An integration preconditioning method for solving option pricing problems - MaRDI portal

An integration preconditioning method for solving option pricing problems (Q5031225)

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scientific article; zbMATH DE number 7476569
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English
An integration preconditioning method for solving option pricing problems
scientific article; zbMATH DE number 7476569

    Statements

    title
    An integration preconditioning method for solving option pricing problems (English)
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    publication date
    18 February 2022
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    zbMATH Keywords
    multi-asset Black-Scholes equation
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    integration preconditioning method
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    quadrature formulas
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    radial basis functions
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    well-conditioned
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    stability
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    cites work
    Q4315528
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    Spectral Methods
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    Spectral Methods
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    Identifiers

    Mathematics Subject Classification ID
    65C30
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    65D30
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    65D32
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    zbMATH DE Number
    7476569
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    OpenAlex ID
    W3013712876
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