A Numerical Study of a Parabolic Monge-Ampère Equation in Mathematical Finance

DOI10.1007/978-3-642-18466-6_55zbMath1318.91197OpenAlexW1574499242MaRDI QIDQ3075298

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 11 February 2011

Published in: Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18466-6_55

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance

Cites Work

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• Option pricing with an illiquid underlying asset market
• On the sign-stability of numerical solutions of one-dimensional parabolic problems
• Existence of solutions to initial value problem for a parabolic Monge-Ampère equation and application

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