Probabilistic numerical approach for PDE and its application in the valuation of European options
zbMATH Open0993.65005MaRDI QIDQ2770163FDOQ2770163
Authors: Dongsheng Wu 
Publication date: 7 February 2002
Published in: Journal of Computational Mathematics (Search for Journal in Brave)
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convergenceEuropean optionsBrownian motionconvection-diffusion equationsMonte Carlo methodparallel computationBlack-Scholes equation
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Initial value problems for second-order parabolic equations (35K15) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Cited In (5)
- Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
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- Probabilistic methods for semilinear partial differential equations. Applications to finance
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