Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (Q5388689): Difference between revisions
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scientific article; zbMATH DE number 6025786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing |
scientific article; zbMATH DE number 6025786 |
Statements
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (English)
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19 April 2012
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Green's function
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local volatility
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closed-form solution
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Dyson-Taylor commutator
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