scientific article; zbMATH DE number 5257946
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Publication:5454998
zbMath1213.91160MaRDI QIDQ5454998
Naoyuki Ishimura, Hitoshi Imai, Hideo Sakaguchi
Publication date: 3 April 2008
Full work available at URL: https://eudml.org/doc/33898
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Initial value problems for second-order parabolic equations (35K15)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Mathematical models of financial derivatives
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
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