Selected applications of differential equations in vanilla options valuation.

DOI10.14708/MA.V46I2.6352zbMATH Open1463.91200OpenAlexW2920656399WikidataQ128290322 ScholiaQ128290322MaRDI QIDQ5135652FDOQ5135652

Authors: Grzegorz Krzyżanowski 

Publication date: 23 November 2020

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v46i2.6352

Recommendations

• scientific article; zbMATH DE number 2233868
• Options and partial differential equations
• Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
• Financial Derivatives and Partial Differential Equations
• scientific article; zbMATH DE number 2104089

zbMATH Keywords

American optionfinite difference methodfree boundary problemnumerical methodsBlack-Scholes modelEuropean option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Optimal stochastic control (93E20)

Cited In (2)

• A weighted finite difference method for subdiffusive Black-Scholes model
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

This page was built for publication: Selected applications of differential equations in vanilla options valuation.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5135652)