Space-time adaptive finite difference method for European multi-asset options

DOI10.1016/j.camwa.2006.09.014zbMath1154.91462OpenAlexW2136268717MaRDI QIDQ2468901

Johan Tysk, Jonas Persson, Lina von Sydow, Per Loetstedt

Publication date: 30 January 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.09.014

zbMATH Keywords

maximum principlefinite difference methodBlack-Scholes equationtime adaptationspace adaptation

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) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Uses Software

• TOMS659

Cites Work

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