Numerical solution of a parabolic problem arising in finance

DOI10.1016/j.apnum.2012.02.004zbMath1237.91234arXiv0905.2860OpenAlexW2047313938MaRDI QIDQ421803

Marie-Noëlle Le Roux

Publication date: 14 May 2012

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.2860

zbMATH Keywords

mathematical modelnonlinear parabolic problemfinite elements method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (1)

A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Compact sets in the space \(L^ p(0,T;B)\)
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

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