Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

DOI10.1137/100796832zbMath1242.35131arXiv0910.2309MaRDI QIDQ5388689

Wen Cheng, Anna L. Mazzucato, Nick Costanzino, Victor Nistor, John C. Liechty

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2309

zbMATH Keywords

Green's function; closed-form solution; local volatility; Dyson-Taylor commutator

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35A08: Fundamental solutions to PDEs

35K65: Degenerate parabolic equations

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35C05: Solutions to PDEs in closed form

35K10: Second-order parabolic equations

35K08: Heat kernel

35Q84: Fokker-Planck equations

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