A stochastic delay model for pricing debt and equity: numerical techniques and applications
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Publication:2513817
DOI10.1016/j.cnsns.2014.05.010zbMath1304.91237arXiv1304.2074OpenAlexW2963816996MaRDI QIDQ2513817
Elisabeth Kemajou Brown, Salah-Eldin A. Mohammed, Antoine Tambue
Publication date: 29 January 2015
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.2074
Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamical systems in optimization and economics (37N40) Corporate finance (dividends, real options, etc.) (91G50) Economic dynamics (91B55)
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A stochastic delay model for pricing debt and equity: numerical techniques and applications, Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise, Fokker-Planck equations for time-delayed systems via Markovian embedding
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