Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866)
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scientific article; zbMATH DE number 5117670
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging with a correlated asset: Solution of a nonlinear pricing PDE |
scientific article; zbMATH DE number 5117670 |
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Hedging with a correlated asset: Solution of a nonlinear pricing PDE (English)
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22 January 2007
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hedging
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contingent claim
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basis risk
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viscosity solution
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monotone discretization
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