PDE and martingale methods in option pricing.
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Publication:986029
DOI10.1007/978-88-470-1781-8zbMath1214.91002OpenAlexW145047050WikidataQ56268865 ScholiaQ56268865MaRDI QIDQ986029
Publication date: 11 August 2010
Published in: Bocconi \& Springer Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-88-470-1781-8
Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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