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An accurate and efficient numerical method for solving Black-Scholes equation in option pricing.

Wenyuan LiaoJianping Zhu
Published in: Int. J. Math. Oper. Res. (2009)
Keyphrases
  • black scholes
  • numerical methods
  • differential equations
  • option pricing
  • partial differential equations
  • level set method
  • capital budgeting
  • multiscale