Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations.
Sylwester ArabasAhmad FarhatPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- black scholes
- option pricing
- numerical methods
- convertible bonds
- fuzzy numbers
- financial markets
- stock exchange
- polynomial equations
- black scholes model
- stock price
- stock market
- optimal solution
- data mining
- differential equations
- decision analysis
- utility function
- graphical models
- computational intelligence
- artificial intelligence