DG Approach to Numerical Pricing of Local Volatility Basket Options
Date
2016-01-01
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Technical University of Liberec
Abstract
Description
Subject(s)
Option pricing, discontinuous Galerkin method, multi-factor Black-Scholes model, basket options, implied volatility, local volatility, Dupire formula, numerical solution
Citation
Item identifier
ISSN
ISBN
978-80-7494-296-9