Pricing futures by deterministic methods

DOI10.1017/S0962492912000074MaRDI QIDQ3166396zbMATH OpenFDO

Authors 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

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)

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Cited in

(4)

• scientific article; zbMATH DE number 5244648 (Why is no real title available?)
• VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
• Computation of the unknown volatility from integral option price observations in jump-diffusion models
• scientific article; zbMATH DE number 1724292 (Why is no real title available?)

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