An algebraic method for pricing financial instruments on post-crisis market

DOI10.1007/978-3-030-41850-2_35zbMath1471.91619OpenAlexW3036511288MaRDI QIDQ1980755

Anatoliy Malyarenko, Hossein Nohrouzian, Sergei D. Silvestrov

Publication date: 8 September 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-41850-2_35

zbMATH Keywords

free Lie algebrastochastic partial differential equationcubature formula on Wiener spacepost-crisis market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical quadrature and cubature formulas (65D32) Universal enveloping algebras of Lie algebras (16S30)

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Testing cubature formulae on Wiener space versus explicit pricing formulae

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