On the multidimensional Black-Scholes partial differential equation

DOI10.1007/s10479-018-3001-1zbMath1456.35100OpenAlexW2885744310WikidataQ115384295 ScholiaQ115384295MaRDI QIDQ2288905

Tristan Guillaume

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-3001-1

zbMATH Keywords

heat equationdimensionparabolicmultivariate normal distributiondouble barrieroption on the maximummixed derivativemultiasset optionBlack-Scholes multidimensional equation

Mathematics Subject Classification ID

Fundamental solutions to PDEs (35A08) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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• Computation of Gauss-Kronrod quadrature rules
• Computation of the quadrivariate and pentavariate normal cumulative distribution functions
• AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

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