The forward Kolmogorov equation for two dimensional options

DOI10.3934/CPAA.2009.8.195MaRDI QIDQ2518232zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/cpaa.2009.8.195

zbMATH Keywords

option pricingfinancial mathematicsfinite element methodsKolmogorov equation

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited in

(6)

• Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
• 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
• scientific article; zbMATH DE number 5499200 (Why is no real title available?)
• Multilayer heat equations: application to finance

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