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Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation.
Junkee Jeon
Heejae Han
Myungjoo Kang
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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option pricing
black scholes
numerical methods
stock price
decision analysis
boundary conditions
black scholes model
real option
markov chain
finite element
decision problems
differential equations
decision makers
financial markets
fuzzy numbers
multi attribute
dynamical systems
decision support system
fuzzy sets