The forward Kolmogorov equation for two dimensional options
DOI10.3934/CPAA.2009.8.195zbMATH Open1154.91436OpenAlexW2014610272MaRDI QIDQ2518232FDOQ2518232
Authors: Antoine Conze, Nicolas Lantos, Olivier Pironneau 
Publication date: 15 January 2009
Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/cpaa.2009.8.195
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Cited In (6)
- Dupire-like identities for complex options
- Solving partial differential equations by LS-SVM
- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
- Multilayer heat equations: application to finance
- Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
- Title not available (Why is that?)
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