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Published in 2019 at "BIT Numerical Mathematics"
DOI: 10.1007/s10543-018-0722-0
Abstract: The aim of this paper is to contribute a new second-order pseudo-spectral method via a non-uniform distribution of the computational nodes for solving multi-asset option pricing problems. In such problems, the prices are required to…
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Keywords:
pseudo spectral;
spectral method;
asset option;
multi asset ... See more keywords
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Published in 2017 at "Computational Economics"
DOI: 10.1007/s10614-016-9605-0
Abstract: In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a…
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Keywords:
option pricing;
multi asset;
asset option;
method ... See more keywords