Numerical methods for nonlinear PDEs in finance

DOI10.1007/978-3-642-17254-0_18MaRDI QIDQ3112471zbMATH OpenOpenAlexFDO

Authors P. A. Forsyth, K. R. Vetzal

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_18

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Linear-quadratic optimal control problems (49N10) Numerical methods (including Monte Carlo methods) (91G60)

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