The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes
Year of publication: |
2020
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Authors: | Kagraoka, Yusho |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 8.2020, 4/77, p. 1-13
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Subject: | partial differential equation | mixed derivatives | fractional step method | radial basis functions | exchange option | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs8040077 [DOI] hdl:10419/257744 [Handle] |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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Kagraoka, Yusho, (2020)
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