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~subject:"Black-Scholes-Modell"
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Black-Scholes-Modell
Optionspreistheorie
31
Option pricing theory
29
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19
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multi-asset
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multi-asset options
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Decision making and risk/return optimization in financial economics
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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2
On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan
- In:
Decision making and risk/return optimization in …
,
(pp. 229-251)
.
2019
Persistent link: https://www.econbiz.de/10012134802
Saved in:
3
Feedback control of the
multi-asset
Black-Scholes PDE using differential flatness theory
Rigatos, Gerasimos G.
;
Siano, P.
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011577097
Saved in:
4
On the solution of the
multi-asset
black-scholes model : correlations, eigenvalues and geometry
Contreras, Mauricio
;
Llanquihuén, Alejandro
;
Villena, …
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 562-579
Persistent link: https://www.econbiz.de/10011656962
Saved in:
5
Unifying exotic option closed formulas
Esquível, Manuel L.
;
Veiga, Carlos
;
Wystup, Uwe
-
2010
most, if not all, mountain range exotic options and is developed in a
multi-asset
, multi-currency Black-Scholes model with …
Persistent link: https://www.econbiz.de/10010301702
Saved in:
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