A high-order numerical method for BSPDEs with applications to mathematical finance (Q5065083)
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scientific article; zbMATH DE number 7493050
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| English | A high-order numerical method for BSPDEs with applications to mathematical finance |
scientific article; zbMATH DE number 7493050 |
Statements
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance (English)
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18 March 2022
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local discontinuous Galerkin method
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backward stochastic partial differential equations
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stability analysis
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error estimates
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hedging contingent claims
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stochastic Black-Scholes formula
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0.804945707321167
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0.7895714044570923
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0.7871577143669128
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0.7775984406471252
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