Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics
DOI10.1137/100799691zbMath1238.91131OpenAlexW1988877127MaRDI QIDQ3097537
Publication date: 10 November 2011
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/100799691
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Nonlocal and multipoint boundary value problems for ordinary differential equations (34B10)
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