scientific article; zbMATH DE number 1379402

zbMath0991.91036MaRDI QIDQ4704915

Gunter H. Meyer

Publication date: 15 December 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

method of linesRothe's methodBlack-Scholes equationpricing portfolios of options with transaction costs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of branching processes (60J85) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for boundary value problems involving PDEs (65N40)

Related Items (1)

On convergence of a semi-analytical method for American option pricing

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