Dirichlet Forms and Finite Element Methods for the SABR Model

DOI10.1137/16M1066117zbMath1395.91498arXiv1801.02719OpenAlexW2963186900MaRDI QIDQ4579839

Oleg Reichmann, Blanka Horvath

Publication date: 10 August 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.02719

zbMATH Keywords

finite element methodsDirichlet formsSABR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Initial value problems for second-order parabolic equations (35K15)

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