Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm (Q2426012)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm |
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Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm (English)
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17 April 2008
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stochastic boundary value problems
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financial derivatives
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wavelets
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collocation methods
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numerical examples
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stochastic differential equation
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Milstein approximation
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convergence
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Malliavin calculus
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Monte Carlo methods
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