Radial basis function methods for pricing multi-asset options
The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equat...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Avdelningen för beräkningsvetenskap
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-284306 |