Pricing futures by deterministic methods

DOI10.1017/S0962492912000074zbMATH Open1272.91122MaRDI QIDQ3166396FDOQ3166396

Authors: Olivier Pironneau 

Publication date: 12 October 2012

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

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zbMATH Keywords

partial differential equationsnumerical algorithmspragmatic approachpricing futures

Mathematics Subject Classification ID

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

Cited In (4)

• VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
• Title not available (Why is that?)
• Computation of the unknown volatility from integral option price observations in jump-diffusion models
• Title not available (Why is that?)

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