Solving finite difference schemes arising in trivariate option pricing
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Volume (Year): 26 (2002)
Issue (Month): 9-10 (August)
Pages: 1499-1515
| Handle: | RePEc:eee:dyncon:v:26:y:2002:i:9-10:p:1499-1515 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jedc
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References listed on IDEAS
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- Gilli, Manfred & Pauletto, Giorgio, 1998. "Krylov methods for solving models with forward-looking variables," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1275-1289, August.
- Giorgio Pauletto & Manfred Gilli, 2000. "Parallel Krylov Methods for Econometric Model Simulation," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 173-186, October.
- Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1093-1111, June.
- Izvorski, Ivailo, 1998. "A nonuniform grid method for solving PDE's," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1445-1452, August.
- Chen, Andrew H. & Kensinger, John W. & Conover, James A., 1998. "Valuing Flexible Manufacturing Facilities as Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 651-674.
- Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 277-283, September.
- Ekvall, Niklas, 1994. "Experiences in the Pricing of Trivariate Contingent Claims with Finite Difference Methods on a Massively Parallel Computer," Computational Economics, Society for Computational Economics, vol. 7(2), pages 63-72.
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