A fully nonlinear problem arising in financial modelling

DOI10.1186/1687-2770-2013-146zbMath1297.35245OpenAlexW2115007160WikidataQ59300199 ScholiaQ59300199MaRDI QIDQ2251183

Maria do Rosário Grossinho, Eva Morais

Publication date: 11 July 2014

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-2770-2013-146

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Solving Black-Scholes equations using fractional generalized homotopy analysis method ⋮ On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs ⋮ GENERALIZED JACOBI REPRODUCING KERNEL METHOD IN HILBERT SPACES FOR SOLVING THE BLACK-SCHOLES OPTION PRICING PROBLEM ARISING IN FINANCIAL MODELLING

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