Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
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Publication:394918
DOI10.1016/j.jmaa.2013.02.007zbMath1281.91177MaRDI QIDQ394918
Andrea Pascucci, María Suárez-Taboada, Carlos Vázquez
Publication date: 28 January 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.007
finite elements; obstacle problems; Kolmogorov equation; anisotropic regularity; augmented Lagrangian active set method; characteristics time discretization; stock loans
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Valuation of stock loan under uncertain stock model with floating interest rate, Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options, Valuation of stock loan under uncertain environment, Stock loan valuation under a stochastic interest rate model
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