A new method for solving Kolmogorov equations in mathematical finance (Q2363532)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new method for solving Kolmogorov equations in mathematical finance |
scientific article |
Statements
A new method for solving Kolmogorov equations in mathematical finance (English)
0 references
19 July 2017
0 references
The authors summarize research into the Fokker-Plank and Kolmogorov equations with application to calibration and valuation of models in finance. They propose an approach that combines a localization method and a mesh-free technique. Through several numerical examples benchmarking accuracy and convergence, they show the advantages of their algorithm, dubbed CoDeFi.
0 references
Fokker-Plank equation
0 references
Kolmogorov equation
0 references
Monte Carlo
0 references
option pricing
0 references
