CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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Publication:4698397
DOI10.1142/S0218202595000085zbMATH Open0822.65056OpenAlexW2032056897MaRDI QIDQ4698397FDOQ4698397
Authors: Guy Barles, Christian Daher, Marc Romano 
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
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- Numerical methods for non-linear Black-Scholes equations
- 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
- Guaranteed minimum withdrawal benefit in variable annuities
- 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
- A numerical scheme for the quantile hedging problem
- Numerical approximation of multidimensional parabolic partial differential equations arising in financial mathematics
- 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
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- Relaxation of minimax optimal control problems with infinite horizon
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- 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
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