Solving finite difference schemes arising in trivariate option pricing

Journal of Economic Dynamics and Control

Volumn 26, Issue 9-10, 2002, Pages 1499-1515

  Gilli, Manfred ^a   Këllezi, Evis ^a   Pauletto, Giorgio ^a  

^a UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

Finite difference methods; Implicit methods; Krylov methods; Multivariate option pricing; Parallel computing

Indexed keywords

EID: 0036102102     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00082-3     Document Type: Article

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