Multiple Shooting Method for Solving Black–Scholes Equation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-019-09940-9.pdf
Reference37 articles.
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3. Bastani, A., Ahmadi, Z., & Damircheli, D. (2013). A radial basis collocation method for pricing American options under regime-switching jump-diffusion models. Applied Numerical Mathematics, 65, 79–90.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–659.
5. Canuto, C., Hussaini, M. Y., Quarteroni, A., & Zang, T. A. (1988). Spectral method in fluid dynamics. Berlin: Springer.
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