A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance (Q5065083)
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scientific article; zbMATH DE number 7493050
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance |
scientific article; zbMATH DE number 7493050 |
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A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance (English)
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18 March 2022
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local discontinuous Galerkin method
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backward stochastic partial differential equations
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stability analysis
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error estimates
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hedging contingent claims
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stochastic Black-Scholes formula
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