+ Site Statistics
+ Search Articles
+ PDF Full Text Service
How our service works
Request PDF Full Text
+ Follow Us
Follow on Facebook
Follow on Twitter
Follow on LinkedIn
+ Subscribe to Site Feeds
Most Shared
PDF Full Text
+ Translate
+ Recently Requested

Pricing European multi-asset options using a space-time adaptive FD-method



Pricing European multi-asset options using a space-time adaptive FD-method



Computing and Visualization in Science 10(4): 173-183




Please choose payment method:






(PDF emailed within 0-6 h: $19.90)

Accession: 063602894

Download citation: RISBibTeXText

DOI: 10.1007/s00791-007-0072-y


Related references

Pricing European multi-asset options using a spacetime adaptive FD-method. Computing and Visualization in Science 10(4): 219-219, 2007

Pricing multi-asset financial derivatives with time-dependent parametersLie algebraic approach. International Journal of Mathematics and Mathematical Sciences 32(7): 401-410, 2002

Adaptive placement method on pricing arithmetic average options. Review of Derivatives Research 11(1-2): 83-118, 2008

On multigrid for anisotropic equations and variational inequalities Pricing multi-dimensional European and American options. Computing and Visualization in Science 7(3-4): 189-197, 2004

A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Review of Derivatives Research 13(2): 177-217, 2010

A space-time fractional derivative model for European option pricing with transaction costs in fractal market. Chaos, Solitons & Fractals 103: 123-130, 2017

Asset Pricing, Time and Causality. Review of Social Economy 25(2): 155-166, 1967

Asset Pricing, Time And Causality. Review of Social Economy 25(2): 155-166, 1967

Improved numerical solution of multi-asset option pricing problem: A localized Rbf-Fd approach. Chaos, Solitons & Fractals 119: 298-309, 2019

Multi-asset American Options and Parallel Quantization. Methodology and Computing in Applied Probability 15(3): 547-561, 2013

A behavioral asset pricing model with a time-varying second moment. Chaos, Solitons & Fractals 29(3): 535-555, 2006

Estimating the continuous time consumption based asset pricing model. 1985

Time-series tests of a non-expected-utility model of asset pricing. 1989

Asset Pricing, Time, and CausalityAn Introspective View of Capital Theory. Review of Social Economy 27(1): 1-12, 1969

Asset Pricing, Time, And CausalityAn Introspective View Of Capital Theory. Review of Social Economy 27(1): 1-12, 1969