ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS

DOI10.12941/jksiam.2014.18.061zbMath1375.91242OpenAlexW2073034423MaRDI QIDQ5258043

Junseok Kim, Yibao Li, Hyoungseok Hwang, Seunggyu Lee, Yongho Choi

Publication date: 25 June 2015

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12941/jksiam.2014.18.061

zbMATH Keywords

finite difference methodGreekscash-or-nothingtwo-asset option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

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