PDE and martingale methods in option pricing.
From MaRDI portal
Publication:986029
DOI10.1007/978-88-470-1781-8zbMath1214.91002WikidataQ56268865 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
91G60: Numerical methods (including Monte Carlo methods)
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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