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A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option.
Allan Jonathan da Silva
Jack Baczynski
José V. M. Vicente
Published in:
J. Comput. Appl. Math. (2016)
Keyphrases
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comparative analysis
option pricing
finite difference method
stock price
convertible bonds
financial markets
transaction costs
black scholes model
higher order
semi quantitative
computer vision
sufficient conditions