Analytical and numerical approach to financial derivatives -- an overview

zbMATH Open1227.91039MaRDI QIDQ3171828FDOQ3171828

Authors: Man M. Chawla, S. L. Kalla 

Publication date: 5 October 2011

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zbMATH Keywords

Mellin transformAmerican optionsBlack-Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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