Multilayer heat equations: application to finance
DOI10.3934/fmf.2021004zbMath1498.91496arXiv2102.08338OpenAlexW3171034847MaRDI QIDQ2170292
Andrey Itkin, Dmitry Muravey, Alexander Lipton-Lifschitz
Publication date: 30 August 2022
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.08338
American optionssemi-analytical solutionbarrier optionstime-dependent boundariestime-dependent modelsone-factor models
Numerical methods (including Monte Carlo methods) (91G60) Heat equation (35K05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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