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Efficient pricing of an Asian put option using stiff ODE methods

Thesis (M.S.) -- Worcester Polytechnic Institute. / Keywords: option; financial mathematics; differential equation; stiff. Includes bibliographical references (p.).

Identiferoai:union.ndltd.org:OCLC/oai:xtcat.oclc.org:OCLCNo/166927528
Date January 2007
CreatorsLeRay, David.
Source SetsOCLC
LanguageEnglish
Detected LanguageEnglish
SourceLink to electronic thesis

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