An efficient method for solving spread option pricing problem: numerical analysis and computing

DOI10.1155/2016/1549492zbMath1470.91323OpenAlexW2560545101WikidataQ59121502 ScholiaQ59121502MaRDI QIDQ1669206

Rafael Company, Lucas Jodar, Vera N. Egorova

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/1549492

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A Componentwise Splitting Method for Pricing American Options Under the Bates Model
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