scientific article; zbMATH DE number 841285

zbMATH Open0844.90011MaRDI QIDQ4863379FDOQ4863379

Authors: Paul Wilmott, Jeff Dewynne, S. D. Howison 

Publication date: 4 February 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

European optionsfinanceoption pricingWiener processespartial differential equationsAmerican optionscontinuous timeexotic optionsBlack-Scholes frameworkput-call parity theorem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

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• A CELL-CENTERED SECOND-ORDER ACCURATE FINITE VOLUME METHOD FOR CONVECTION–DIFFUSION PROBLEMS ON UNSTRUCTURED MESHES
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• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
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• A comparative analysis of local meshless formulation for multi-asset option models
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