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Results 1-1 of 1 (Search time: 0.004 seconds).
POLYNOMIAL CHAOS SOLUTION TO THE BLACK SCHOLES EQUATION WITH A RANDOM VOLATILITY
Moon, Kyoung-Sook
; Kim, Hongjoong
Article
Issue Date
2012
Citation
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, v.46, no.2, pp.173 - 191
Publisher
ACAD ECONOMIC STUDIES
1
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Kim, Hongjoong
1
Moon, Kyoung Sook
1
Subject
option pricing
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polynomial chaos
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spectral method
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stochastic differential equation
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WIENER CHAOS
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2012
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English
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Economic Computation and Economic...
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