A MULTILEVEL APPROACH TO SOLVING THE BLACK–SCHOLES EQUATION
Year of publication: |
2010
|
---|---|
Authors: | MORRIS, HEDLEY ; LIMON, ALFONSO |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 03, p. 403-414
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Adaptive grids | wavelets | Black–Scholes | asset pricing |
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