Derivative securities and difference methods.

You-lan Zhu, I.-Liang Chern, Xiao-Nan Wu

Publication date: 15 October 2004

Published in: Springer Finance (Search for Journal in Brave)

caps American options Black-Scholes model partial differential equations free boundary problems Asian options European options swaps interest rate models multi-asset options floors swaptions barrier options interest rate derivatives futures contracts forward contracts lookback options collars

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Parabolic equations and parabolic systems (35K99) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02)

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