A numerical method to approximate multi-asset option pricing under exponential Lévy model
Leila Khodayari, Mojtaba Ranjbar
Year of publication: |
August 2017
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Authors: | Khodayari, Leila ; Ranjbar, Mojtaba |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 2, p. 189-205
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Subject: | Radial basis functions | Differential quadrature | Multi-asset option pricing | Lévy process | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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