Option Pricing by the Legendre Wavelets Method
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DOI: 10.1007/s10614-021-10100-1
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- Černá, Dana & Fiňková, Kateřina, 2024. "Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 220(C), pages 309-340.
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Keywords
Black–Scholes PDE; European options; Legendre wavelets polynomials; Integral operator matrix; Sylvester equation;All these keywords.
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