Applying the Model Order Reduction method to a European option pricing model
Year of publication: |
2013
|
---|---|
Authors: | Lin, Shao-bin ; Chen, Chun-Da |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 33.2013, p. 533-536
|
Subject: | European options | Model-Order-Reduction | Dynamical systems | Numerical linear algebra | Optionspreistheorie | Option pricing theory | EU-Staaten | EU countries | Stochastischer Prozess | Stochastic process | Numerisches Verfahren | Numerical analysis | Mathematische Optimierung | Mathematical programming | Black-Scholes-Modell | Black-Scholes model |
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