About the Pricing Equations in Finance
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Publication:3061146
DOI10.1007/978-3-642-14660-2_2zbMath1230.91175OpenAlexW2244032182MaRDI QIDQ3061146
Publication date: 14 December 2010
Published in: Paris-Princeton Lectures on Mathematical Finance 2010 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-14660-2_2
PDEvariational inequalityviscosity solutioncomparison principlewell-posednessbackward stochastic differential equationsapproximation schemesjump-diffusionPIDE
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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