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The numerical solution of derivative security depending on two state variables. (Chinese. English summary) Zbl 1066.91562
Summary: The two-dimensional Black-Scholes model of derivative security depending on two state variables is studied by the method of partial differential equation difference scheme. The difference scheme. The difference scheme is established, and stability and convergence of the difference scheme are proved.
Reviewer: Reviewer (Berlin)
MSC:
91B28 Finance etc. (MSC2000)
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