PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (Q5101563)
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scientific article; zbMATH DE number 7578026
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS |
scientific article; zbMATH DE number 7578026 |
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PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (English)
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30 August 2022
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two-dimensional spatial-fractional Black-Scholes equation
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temporal-discretization
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option pricing
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Chebyshev basis
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spectral method
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