A numerical study of RBFs-DQ method for multi-asset option pricing problems
نویسندگان
چکیده
منابع مشابه
Numerical Methods for Pricing Multi - Asset Options
Numerical Methods for Pricing Multi-Asset Options Yuwei Chen Master of Science Graduate Department of Computer Science University of Toronto 2017 We consider the pricing of two-asset European and American options by numerical Partial Differential Equation (PDE) methods, and compare the results with certain analytical formulae. Two cases of options are tested: exchange option and spread option. ...
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ژورنال
عنوان ژورنال: Boletim da Sociedade Paranaense de Matemática
سال: 2018
ISSN: 2175-1188,0037-8712
DOI: 10.5269/bspm.v36i1.29641