𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Generalized parameter functions for option pricing

✍ Scribed by Panayiotis C. Andreou; Chris Charalambous; Spiros H. Martzoukos


Book ID
116615482
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
343 KB
Volume
34
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Exponential Rosenbrock integrators for o
✍ Muhammad Asif Gondal πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 284 KB

In this paper, we are concerned with the time integration of differential equations modeling option pricing. In particular, we consider the Black-Scholes equation for American options. As an alternative to existing methods, we present exponential Rosenbrock integrators. These integrators require the