Pricing futures by deterministic methods

DOI10.1017/S0962492912000074zbMath1272.91122MaRDI QIDQ3166396

Olivier Pironneau

Publication date: 12 October 2012

Published in: Acta Numerica (Search for Journal in Brave)

zbMATH Keywords

partial differential equationsnumerical algorithmspragmatic approachpricing futures

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Computation of the unknown volatility from integral option price observations in jump-diffusion models

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