Multiple shooting method for solving black-scholes equation
Somayeh Abdi-Mazraeh, Ali Khani, Safar Irandoust-Pakchin
| Year of publication: |
2020
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|---|---|
| Authors: | Abdi-Mazraeh, Somayeh ; Khani, Ali ; Irandoust-Pakchin, Safar |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 4, p. 723-746
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| Subject: | Black-Scholes equation | Multiple shooting method | Crank-Nicolson method | Option pricing | Variable step size | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09940-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390448