Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance

DOI10.1142/9789814436434_0008zbMath1277.91196OpenAlexW2486676160MaRDI QIDQ2849678

Oleg Reichmann, Christoph Schwab

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0008

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

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