Computational methods in finance: option pricing

IEEE computational science & engineering

Volumn 3, Issue 1, 1996, Pages 66-80

  Barucci, Emilio ^a   Landi, Leonardo ^a   Cherubini, Umberto ^a  

^a UNIVERSITY OF FLORENCE   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; CONSTRAINT THEORY; FINANCE; FINITE DIFFERENCE METHOD; FUNCTIONS; MARKETING; MATHEMATICAL MODELS; MATRIX ALGEBRA; NEURAL NETWORKS; NUMERICAL METHODS; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES;

ASSET CASH FLOW; BLACK-SCHOLES FRAMEWORK; COMPUTATIONAL FINANCE; EUROPEAN CALL OPTION; GALERKIN METHOD; HEDGING; NO-ARBITRAGE; OPTION PRICING; UNDERLYING ASSETS;

COMPUTATIONAL METHODS;

EID: 0030110430     PISSN: 10709924     EISSN: None     Source Type: Journal    
DOI: 10.1109/99.486762     Document Type: Article

References (7)

1. I. Karatzas S. Shreve Brownian Motion and Stochastic Calculus, 1988 New York,
2. C. Fletcher Computational Techniques for Fluid Dynamics, 1991 New York,
3. R.Z. Panton H.B. Sallee Computers and Fluids, 3 257 269 1975
4. J. Cox M. Rubinstein Options Markets, 1985 Englewood Cliffs, N.J.,
5. U. Grenander Abstract Inference, 1981 New York,