scientific article

zbMath1242.91206arXiv1101.3071MaRDI QIDQ2896264

Martin Takáč, Daniel Ševčovič

Publication date: 16 July 2012

Full work available at URL: https://arxiv.org/abs/1101.3071

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingearly exercise boundaryfixed domain transformationAmerican-style Asian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for second-order parabolic equations (35K15)

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