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Cho, Junhyun, Yang, Donghee, Kim, Yejin, Lee, Sungchul (2023) An operator splitting method for multi-asset options with the Feynman-Kac formula. Computers & Mathematics with Applications, 135. 93-101 doi:10.1016/j.camwa.2023.01.019

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Reference TypeJournal (article/letter/editorial)
TitleAn operator splitting method for multi-asset options with the Feynman-Kac formula
JournalComputers & Mathematics with Applications
AuthorsCho, JunhyunAuthor
Yang, DongheeAuthor
Kim, YejinAuthor
Lee, SungchulAuthor
Year2023 (April)Volume135
PublisherElsevier BV
DOIdoi:10.1016/j.camwa.2023.01.019Search in ResearchGate
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Mindat Ref. ID15690760Long-form Identifiermindat:1:5:15690760:8
GUID0
Full ReferenceCho, Junhyun, Yang, Donghee, Kim, Yejin, Lee, Sungchul (2023) An operator splitting method for multi-asset options with the Feynman-Kac formula. Computers & Mathematics with Applications, 135. 93-101 doi:10.1016/j.camwa.2023.01.019
Plain TextCho, Junhyun, Yang, Donghee, Kim, Yejin, Lee, Sungchul (2023) An operator splitting method for multi-asset options with the Feynman-Kac formula. Computers & Mathematics with Applications, 135. 93-101 doi:10.1016/j.camwa.2023.01.019
In(2023) Computers & Mathematics with Applications Vol. 135. Elsevier BV

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Chen, Chris, Wang, Zeqi, Yang, Yue (2019) A new operator splitting method for American options under fractional Black–Scholes models. Computers & Mathematics with Applications, 77. 2130-2144 doi:10.1016/j.camwa.2018.12.007
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Martín-Vaquero, J., Khaliq, A.Q.M., Kleefeld, B. (2014) Stabilized explicit Runge–Kutta methods for multi-asset American options. Computers & Mathematics with Applications, 67. 1293-1308 doi:10.1016/j.camwa.2014.01.018
Guo, Xu, Li, Yutian, Wang, Hong (2018) Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process. Computers & Mathematics with Applications, 76. 1500-1514 doi:10.1016/j.camwa.2018.07.002
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Wang, Wansheng, Huang, Yi, Tang, Jiao (2022) Lie-Trotter operator splitting spectral method for linear semiclassical fractional Schrödinger equation. Computers & Mathematics with Applications, 113. 117-129 doi:10.1016/j.camwa.2022.03.016
 
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