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Numerical solution of the three-asset Black-Scholes option pricing model using an efficient hybrid method.

Razieh DelpasandMohammad Mehdi Hosseini
Published in: Int. J. Model. Simul. Sci. Comput. (2023)
Keyphrases
  • hybrid method
  • option pricing
  • numerical solution
  • black scholes
  • objective function
  • high order
  • decision making
  • multiscale
  • sensitivity analysis
  • partial differential equations
  • differential equations
  • capital budgeting