Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm

DOI10.1016/j.camwa.2006.08.010zbMath1137.65311OpenAlexW2025203035MaRDI QIDQ2426012

Mercedes Esteban-Bravo, Jose M. Vidal-Sanz

Publication date: 17 April 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/7312

zbMATH Keywords

waveletsstochastic differential equationconvergencenumerical examplesMalliavin calculusMonte Carlo methodscollocation methodsMilstein approximationfinancial derivativesstochastic boundary value problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

An adaptive algorithm for solving stochastic multi-point boundary value problems, Unnamed Item

Uses Software

• Maple

Cites Work

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