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An integration preconditioning method for solving option pricing problems
International Journal of Computer Mathematics ( IF 1.7 ) Pub Date : 2020-04-07 , DOI: 10.1080/00207160.2020.1746960 Y. Li 1 , C. N. Sam 2 , Y. C. Hon 2 , K. S. Ng 3
International Journal of Computer Mathematics ( IF 1.7 ) Pub Date : 2020-04-07 , DOI: 10.1080/00207160.2020.1746960 Y. Li 1 , C. N. Sam 2 , Y. C. Hon 2 , K. S. Ng 3
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In this paper, we present an integration preconditioning method to solve multi-asset option pricing problems modelled by the well-known Black-Scholes equation. This integration preconditioning tech...
中文翻译:
一种求解期权定价问题的积分预处理方法
在本文中,我们提出了一种积分预处理方法来解决由著名的 Black-Scholes 方程建模的多资产期权定价问题。这种集成预处理技术...
更新日期:2020-04-07
中文翻译:
一种求解期权定价问题的积分预处理方法
在本文中,我们提出了一种积分预处理方法来解决由著名的 Black-Scholes 方程建模的多资产期权定价问题。这种集成预处理技术...