Financial Derivatives and Partial Differential Equations

DOI10.2307/2695763MaRDI QIDQ4417693zbMATH OpenOpenAlexFDO

Authors Robert Almgren

Publication date 29 July 2003

Full work available at URL https://doi.org/10.2307/2695763

zbMATH Keywords

partial differential equationsBlack-Scholes equationoptionEuropean Option

Mathematics Subject Classification ID

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Cited in

(9)

• Option pricing with threshold diffusion processes
• Derivatives of diffusions with applications in finance
• Financial Derivatives in Theory and Practice
• Options and partial differential equations
• A partial differential equation for credit derivatives pricing
• The method of binary tree about financial derivatives
• Pricing futures by deterministic methods
• scientific article; zbMATH DE number 2144573 (Why is no real title available?)
• Selected applications of differential equations in vanilla options valuation.

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