DG Approach to Numerical Pricing of Local Volatility Basket Options
Date
2016
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