scientific article; zbMATH DE number 6102869

MaRDI QIDQ4647746zbMATH OpenFDO

Authors

Publication date 7 November 2012

zbMATH Keywords

comparison principleBlack-Scholes equationDirichlet type problembarrier optionsfinancial option of barrier typetwo-asset barrier options

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Comparison principles in context of PDEs (35B51) Fundamental solutions to PDEs (35A08)

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Cited in

(3)

• Boundary-value problems for PDEs arising in the valuation of structured financial products
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• Solving Free-boundary Problems with Applications in Finance

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