Pricing European multi-asset options using a space-time adaptive FD-method
Computing and Visualization in Science(2007)
摘要
In this paper we present an adaptive technique to solve the multi-dimensional Black–Scholes equation. The number of grid-points required for a given tolerance of the local discretization errors is reduced substantially when compared to a standard equidistant grid. Using our adaptive methods in space and time we have control of the local discretization errors and can refine the grid where needed for accuracy reasons.
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关键词
Finite-difference methods,Option pricing,Adaptive methods,Black-Scholes model
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