On the use of boundary conditions for variational formulations arising in financial mathematics.

DOI10.1016/S0096-3003(00)00087-4zbMath1047.91033OpenAlexW2046709860MaRDI QIDQ1855082

Michael D. Marcozzi, Seungmook Choi, Ching-Shyang Chen

Publication date: 28 January 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(00)00087-4

zbMATH Keywords

domain decompositionradial basis functionBlack-Scholes equationBermuda approximation

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• Algorithm 431

Cites Work

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