A Bilinear Pseudo-spectral Method for Solving Two-asset European and American Pricing Options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-023-10364-9.pdf
Reference44 articles.
1. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.
2. Černá, Dana. (2016). Numerical solution of the black-scholes equation using cubic spline wavelets. In AIP Conference Proceedings, volume 1789, page 030001. AIP Publishing LLC.
3. Chiarella, C., Griebsch, S., & Kang, B. (2014). A comparative study on time-efficient methods to price compound options in the heston model. Computers Mathematics with Applications, 67(6), 1254–1270.
4. Fasshauer, G. E., Khaliq, A. Q. M., & Voss, D. A. (2004). Using meshfree approximation for multi-asset American options. Journal of the Chinese Institute of Engineers, 27(4), 563–571.
5. Franke, Jürgen., Härdle, Wolfgang Karl., & Hafner, Christian M. (2004) Statistics of financial markets, volume 2. Springer.
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1. Correction to: A Bilinear Pseudo‑Spectral Method for Solving Two‑Asset European and American Pricing Options;Computational Economics;2023-05-18
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