scientific article; zbMATH DE number 5355243

MaRDI QIDQ3531033zbMATH OpenFDO

Authors Jürgen Topper

Publication date 21 October 2008

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(3)

• Analytic approximations for multi-asset option pricing
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• Numerical methods for Lévy processes

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