A new method for solving Kolmogorov equations in mathematical finance
DOI10.1016/J.CRMA.2017.05.003zbMATH Open1419.91651OpenAlexW2617321527MaRDI QIDQ2363532FDOQ2363532
Authors: Philippe G. LeFloch, Jean-Marc Mercier 
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
Recommendations
- Kolmogorov equations arising in finance: direct and inverse problems
- A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
- A new method for generating approximation algorithms for financial mathematics applications
- A high-order finite difference method for option valuation
- Solving the Kolmogorov PDE by means of deep learning
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fokker-Planck equations (35Q84) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
Cites Work
Cited In (9)
- The forward Kolmogorov equation for two dimensional options
- A new method for generating approximation algorithms for financial mathematics applications
- A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
- Kolmogorov equations arising in finance: direct and inverse problems
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- Mesh-free error integration in arbitrary dimensions: a numerical study of discrepancy functions
- Multilayer heat equations: application to finance
- A class of mesh-free algorithms for some problems arising in finance and machine learning
- Title not available (Why is that?)
Uses Software
This page was built for publication: A new method for solving Kolmogorov equations in mathematical finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2363532)
