NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES

DOI10.1142/S0218202504003246zbMath1087.65094MaRDI QIDQ3043609

Ana Bermudez, María R. Nogueiras

Publication date: 6 August 2004

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesfinite elementsLagrange-Galerkin methodsduality algorithmsTwo-factor Black-Scholes models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25)

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