FDMs for the PDEs of option pricing under DEV models with counterparty risk

DOI10.4208/NMTMA.OA-2018-0126MaRDI QIDQ5128447zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 27 October 2020

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.oa-2018-0126

zbMATH Keywords

CEV modelscounterparty riskDEV modelsEuropean optionsfinite difference methods

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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