Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (Q5388689): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q1927291 |
||
Property / author | |||
Property / author: John C. Liechty / rank | |||
Revision as of 16:29, 29 February 2024
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)
0 references
19 April 2012
0 references
Green's function
0 references
local volatility
0 references
closed-form solution
0 references
Dyson-Taylor commutator
0 references