Numerical solution of a parabolic problem arising in finance

DOI10.1016/J.APNUM.2012.02.004MaRDI QIDQ421803zbMATHOpenAlexFDO

Authors M. N. Le Roux

Publication date 14 May 2012

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.2860

zbMATH Keywords

finite elements methodmathematical modelnonlinear parabolic problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Abstract: The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical method to compute the optimal strategy

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Cites work

• scientific article; zbMATH DE number 3696612 (Why is no real title available?)
• scientific article; zbMATH DE number 3250158 (Why is no real title available?)
• scientific article; zbMATH DE number 3264298 (Why is no real title available?)
• Compact sets in the space \(L^ p(0,T;B)\)
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• The pricing of options and corporate liabilities

Cited in

(8)

• Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment
• A simple equation solver and its application to financial modelling
• scientific article; zbMATH DE number 5233919 (Why is no real title available?)
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Analysis of an ϵ-arbitrage model for incomplete markets
• A splitting numerical scheme for non-linear models of mathematical finance
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Solving Free-boundary Problems with Applications in Finance

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