PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution (Q2004615)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution |
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PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution (English)
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7 October 2020
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American option pricing
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counterparty risk
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(non)linear PDEs
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parabolic variational inequalities
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method of characteristics
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finite elements
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