Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing

DOI10.1007/978-3-319-20239-6_10zbMath1360.91155WikidataQ59416158 ScholiaQ59416158MaRDI QIDQ2942193

Wen Li, Songgui Wang

Publication date: 20 August 2015

Published in: Finite Difference Methods,Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-20239-6_10

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

65K15: Numerical methods for variational inequalities and related problems

Cites Work

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