A new method for solving Kolmogorov equations in mathematical finance

DOI10.1016/J.CRMA.2017.05.003zbMath1419.91651OpenAlexW2617321527MaRDI QIDQ2363532

Jean-Marc Mercier, Philippe G. LeFloch

Publication date: 19 July 2017

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2017.05.003

zbMATH Keywords

Monte Carlooption pricingKolmogorov equationFokker-Plank equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Fokker-Planck equations (35Q84)

Related Items (3)

Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process ⋮ A class of mesh-free algorithms for some problems arising in finance and machine learning ⋮ Mesh-free error integration in arbitrary dimensions: a numerical study of discrepancy functions

Uses Software

• MersenneTwister

Cites Work

• Revisiting the method of characteristics via a convex hull algorithm
• Polar factorization and monotone rearrangement of vector‐valued functions
• Mersenne twister

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