scientific article; zbMATH DE number 5355243

zbMATH Open1232.91676MaRDI QIDQ3531033FDOQ3531033

Authors: Jürgen Topper 

Publication date: 21 October 2008

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

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

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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