Pricing european multi-asset options using a space-time adaptive FD-method

Computing and Visualization in Science

Volumn 10, Issue 4, 2007, Pages 173-183

  Persson, Jonas ^a   Von Persson, Lina ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Adaptive methods; Black Scholes model; Finite difference methods; Option pricing

Indexed keywords

COSTS; ERROR ANALYSIS; FINITE DIFFERENCE METHOD; MATHEMATICAL MODELS; STANDARDS;

ADAPTIVE METHODS; BLACK-SCHOLES MODELS; OPTION PRICING;

ADAPTIVE SYSTEMS;

EID: 34548409480     PISSN: 14329360     EISSN: 14330369     Source Type: Journal    
DOI: 10.1007/s00791-007-0072-y     Document Type: Article

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