Options and partial differential equations

MaRDI QIDQ3527684zbMATH OpenFDO

Authors Damien Lamberton

Publication date 29 September 2008

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(11)

• Probabilistic solution of the American options
• Discrete-type approximations for non-Markovian optimal stopping problems. II
• Finite expiry Russian options
• Real options and variational inequalities
• Pricing futures by deterministic methods
• scientific article; zbMATH DE number 2144573 (Why is no real title available?)
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Selected applications of differential equations in vanilla options valuation.
• Discrete-type approximations for non-Markovian optimal stopping problems. I
• scientific article; zbMATH DE number 5499200 (Why is no real title available?)
• PDE and martingale methods in option pricing.

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