The time discrete method of lines for options and bonds a PDE approach

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The time discrete method of lines for options and bonds a PDE approach

THE TIME-DISCRETE METHOD OFLINES FOR OPTIONS AND BONDSA PDE Approach+ po’i<72iSiS2V’sis2 + |crjS|Vs2s2+ (r -+ (r - d2)S2Vs2 - rV - vt = 0V(S1, s2,0) =

The time discrete method of lines for options and bonds a PDE approach= max{0, K — tnin(aiSi,a2S2)} for «1,02 > 031Gunter H. MeyerWorld Scientifichttps://khothuvien.corT!THE TIME-DISCRETE METHOD OF LINES FOR OPTIONSAND B

ONDSA PDE ApproachThis page intentionally left blankTHE TIME-DISCRETE METHOD OF LINES FOR OPTIONS AND BONDSA PDE ApproachS32Ũ ■C-BS V = 2<71‘S'1 VsiSt The time discrete method of lines for options and bonds a PDE approach

+ PWiSiSzVsiSa ++ (r - q^siys, + (r - q2)S2Vsi - rV - vt = 013V(S1,S2,100) = max{0,K — min(aiSi, ữ2‘S'2)} for ữi,02 > 003 rGunter H. MeyerGeorgia Ins

The time discrete method of lines for options and bonds a PDE approach

titute of Technology, USAWorld ScientificPublished byWorld Scientific Publishing Co. Pte. Ltd.5 Toll Tuck Link. Singapore 596224USA office: 27 Warren

THE TIME-DISCRETE METHOD OFLINES FOR OPTIONS AND BONDSA PDE Approach+ po’i<72iSiS2V’sis2 + |crjS|Vs2s2+ (r -+ (r - d2)S2Vs2 - rV - vt = 0V(S1, s2,0) =

The time discrete method of lines for options and bonds a PDE approachA catalogue record for this book is available from the British Library.THE TIME-DISCRETE METHOD OF LINES FOR OPTIONS AND BONDS A PDE Approach

THE TIME-DISCRETE METHOD OFLINES FOR OPTIONS AND BONDSA PDE Approach+ po’i<72iSiS2V’sis2 + |crjS|Vs2s2+ (r -+ (r - d2)S2Vs2 - rV - vt = 0V(S1, s2,0) =