A new method for solving Kolmogorov equations in mathematical finance (Q2363532): Difference between revisions
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Revision as of 22:50, 29 February 2024
scientific article
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| English | A new method for solving Kolmogorov equations in mathematical finance |
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A new method for solving Kolmogorov equations in mathematical finance (English)
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19 July 2017
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The authors summarize research into the Fokker-Plank and Kolmogorov equations with application to calibration and valuation of models in finance. They propose an approach that combines a localization method and a mesh-free technique. Through several numerical examples benchmarking accuracy and convergence, they show the advantages of their algorithm, dubbed CoDeFi.
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Fokker-Plank equation
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Kolmogorov equation
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Monte Carlo
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option pricing
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