Romberg solution of partial differential Brown model with time parameter discrete barrier option
In order to improve the precision of Down-and-Out discrete barrier option pricing problem and reduce the computational complexity, this paper presented a Romberg method for solving partial differential Brown model with discrete time parameters. Firstly, we modeled the Down-and-Out discrete barrier o...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Editorial Department of Journal of Sichuan University (Natural Science Edition)
2017-01-01
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| Col·lecció: | 四川大学学报. 自然科学版 |
| Matèries: | |
| Accés en línia: | http://science.scu.edu.cn/thesisDetails?columnId=45827822&Fpath=home&index=0 |
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