scientific article; zbMATH DE number 1332331
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Publication:4261798
zbMath0936.91019MaRDI QIDQ4261798
Publication date: 16 September 1999
Full work available at URL: https://eudml.org/doc/120256
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convergenceBrownian motiondiffusion equationmethod of linesfree boundaryfinancial mathematicsrandom jumpsRiccati methodBlack-Scholes type model
Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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