Solving finite difference schemes arising in trivariate option pricing

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2002

Volume: 26

Issue: 9-10

Pages: 1499-1515

Authors (3)

Gilli, Manfred (Université de Genève) Kellezi, Evis (not in RePEc) Pauletto, Giorgio

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count