Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
DOI10.1155/2013/165727zbMATH Open1296.91285OpenAlexW2004649539WikidataQ59023178 ScholiaQ59023178MaRDI QIDQ460210FDOQ460210
Authors: Xinfeng Ruan, Wenli Zhu, Jiexiang Huang, Shuang Li 
Publication date: 13 October 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/165727
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (6)
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Asymptotic option pricing under a pure jump process
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