On the use of boundary conditions for variational formulations arising in financial mathematics.

DOI10.1016/S0096-3003(00)00087-4zbMath1047.91033OpenAlexW2046709860MaRDI QIDQ1855082

Michael D. Marcozzi, Seungmook Choi, Ching-Shyang Chen

Publication date: 28 January 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(00)00087-4

zbMATH Keywords

domain decompositionradial basis functionBlack-Scholes equationBermuda approximation

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• Algorithm 431

Cites Work

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• Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
• Variational inequalities and the pricing of American options
• On the theory of option pricing
• On the pricing of American options
• Differential equations for the magnetic confinement of a plasma
• Convergence order estimates of meshless collocation methods using radial basis functions
• Penalty methods for American options with stochastic volatility
• Pricing American-style securities using simulation
• The parameter \(R^ 2\) in multiquadric interpolation
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• Adaptive Finite Element Methods for Parabolic Problems I: A Linear Model Problem
• The Finite Element Method with Nonuniform Mesh Sizes for Unbounded Domains
• Multinomial Approximating Models for Options with k State Variables
• The Mathematics of Financial Derivatives
• Bimatrix Equilibrium Points and Mathematical Programming

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