Partial Differential Equations for Option Pricing

DOI10.1016/S1570-8659(08)00011-2MaRDI QIDQ3631194zbMATH OpenOpenAlexFDO

Authors Olivier Pironneau, Yves Achdou

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00011-2

zbMATH Keywords

American basketBlack-ScholesDupire's equationEuropean basketEuropean callFEMPDEsensitivitysparse methodsstochastic volatility

Mathematics Subject Classification ID

Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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• Partial Differential Equations for Time Development of Stock Prices, Properties, etc. and the Inverse Power Law
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• Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
• PDE and martingale methods in option pricing.

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