Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
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Publication:2942193
DOI10.1007/978-3-319-20239-6_10zbMath1360.91155OpenAlexW2196694933WikidataQ59416158 ScholiaQ59416158MaRDI QIDQ2942193
Publication date: 20 August 2015
Published in: Finite Difference Methods,Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-20239-6_10
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)
Cites Work
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