The Nonlinear Terminal-Boundary Problems for Barrier Options

DOI10.1007/978-3-642-22833-9_32zbMath1267.93182OpenAlexW78426745MaRDI QIDQ2838669

Yu-lian Fan

Publication date: 10 July 2013

Published in: Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22833-9_32

zbMATH Keywords

volatility uncertaintybarrier optionnonlinear terminal-boundary value problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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