DG Approach to Numerical Pricing of Local Volatility Basket Options

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dc.contributor.authorHozman Jiřícs
dc.contributor.authorTichý Tomášcs
dc.date.accessioned2018-09-25T12:09:52Z
dc.date.available2018-09-25T12:09:52Z
dc.date.issued2016cs
dc.format.extent6cs
dc.identifier.isbn978-80-7494-296-9cs
dc.identifier.urihttps://dspace.tul.cz/handle/15240/30565
dc.language.isoengcs
dc.publisherTechnical University of Libereccs
dc.publisher.cityLibereccs
dc.relation.ispartofseries1cs
dc.relation.urihttp://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdfcs
dc.subjectOption pricingcs
dc.subjectdiscontinuous Galerkin methodcs
dc.subjectmulti-factor Black-Scholes modelcs
dc.subjectbasket optionscs
dc.subjectimplied volatilitycs
dc.subjectlocal volatilitycs
dc.subjectDupire formulacs
dc.subjectnumerical solutioncs
dc.titleDG Approach to Numerical Pricing of Local Volatility Basket Optionscs
local.citation.epage307-312cs
local.citation.spage307-312cs
local.identifier.publikace4013
local.identifier.wok000385239500053en
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