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A New Spectral Element Method for Pricing European Options Under the Black-Scholes and Merton Jump Diffusion Models.
Feng Chen
Jie Shen
Haijun Yu
Published in:
J. Sci. Comput. (2012)
Keyphrases
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black scholes model
option pricing
dynamic programming
high order
multiscale
computational complexity
wavelet transform
text mining
rough sets