scientific article; zbMATH DE number 1051049

Publication date: 24 August 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

numerical methods option pricing Wiener processes Monte Carlo simulations American options Black-Scholes framework finite difference schemes partial differential equations finance continuous time exotic options European options binomial trees financial derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Numerical methods for partial differential equations, boundary value problems (65N99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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