Dynamic Constant Reconfiguration for Explicit Finite Difference Option Pricing.

Tobias Becker Qiwei Jin Wayne Luk Stephen Weston

Published in: ReConFig (2011)

Keyphrases

finite difference
option pricing
finite element
semi implicit
numerical analysis
partial differential equations
numerical solution
black scholes model
stock price
long term
expert systems
pattern recognition
image processing
level set
decision analysis
higher order
black scholes
optimal solution