CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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Publication:4698397
DOI10.1142/S0218202595000085zbMATH Open0822.65056OpenAlexW2032056897MaRDI QIDQ4698397FDOQ4698397
Christian Daher, Marc Romano, Guy Barles
Publication date: 15 October 1995
Published in: M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218202595000085
Numerical methods (including Monte Carlo methods) (91G60) Initial value problems for second-order parabolic equations (35K15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Cited In (55)
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
- NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
- Infinite reload options: pricing and analysis
- Comparison of mean variance like strategies for optimal asset allocation problems
- Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE
- On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation
- A model-free no-arbitrage price bound for variance options
- Optimal transportation under controlled stochastic dynamics
- Continuous time mean variance asset allocation: a time-consistent strategy
- Indifference pricing under SAHARA utility
- A Numerical Scheme for the Quantile Hedging Problem
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- Convergence of the trinomial tree method for pricing European/American options
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Optimal investment strategies for participating contracts
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
- Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- An efficient numerical method for the robust optimal investment problem with general utility functions
- Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs
- Sequential quadratic programming method for volatility estimation in option pricing
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- NUMERICAL ANALYSIS OF A MINIMAX OPTIMAL CONTROL PROBLEM WITH AN ADDITIVE FINAL COST
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Numerical analysis of the model of image processing with time-delay regularization
- Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- Efficient pricing of swing options in Lévy-driven models
- Finite volume methods for the valuation of American options
- Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- Numerical Methods for Non-Linear Black–Scholes Equations
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Numerical schemes for investment models with singular transactions
- Convergence of the binomial tree method for Asian options in jump-diffusion models
- A numerical method for pricing European options with proportional transaction costs
- Relaxation of minimax optimal control problems with infinite horizon
- Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
- Large deviation estimates for some nonlocal equations. General bounds and applications
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- Numerical Study of Splitting Methods for American Option Valuation
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Title not available (Why is that?)
- Optimal soaring via Hamilton-Jacobi-Bellman equations
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