An operator splitting method for multi-asset options with the Feynman-Kac formula

DOI10.1016/j.camwa.2023.01.019OpenAlexW4318681859MaRDI QIDQ2693555

Donghee Yang, Yejin Kim, Sungchul Lee, Junhyun Cho

Publication date: 23 March 2023

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2023.01.019

zbMATH Keywords

unconditional stabilityFeynman-Kac formulanumerical techniquesoperator splitting methodoption valuationmulti-dimensional Black-Scholes partial differential equation

Mathematics Subject Classification ID

Numerical analysis (65-XX) Quantum theory (81-XX)

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