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A practical finite difference method for the three-dimensional Black-Scholes equation.
Junseok Kim
Taekkeun Kim
Jae-Hyun Jo
Yongho Choi
Seunggyu Lee
Hyeongseok Hwang
Minhyun Yoo
Darae Jeong
Published in:
Eur. J. Oper. Res. (2016)
Keyphrases
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numerical methods
finite difference method
black scholes
three dimensional
heat equation
differential equations
partial differential equations
numerical solution
finite element method
long term
d objects
level set
short term
image analysis
scale spaces
finite difference
feature vectors
computer vision