Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

DOI10.1137/100796832zbMath1242.35131arXiv0910.2309OpenAlexW2059676916MaRDI QIDQ5388689

Wen Cheng, Anna L. Mazzucato, Nick Costanzino, Victor Nistor, John C. Liechty

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2309

zbMATH Keywords

Green's function closed-form solution local volatility Dyson-Taylor commutator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fundamental solutions to PDEs (35A08) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Solutions to PDEs in closed form (35C05) Second-order parabolic equations (35K10) Heat kernel (35K08) Fokker-Planck equations (35Q84)

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