scientific article
zbMath1210.91137MaRDI QIDQ3076664
Publication date: 23 February 2011
Full work available at URL: http://web.austral.edu.ar/descargas/facultad-cienciasEmpresariales/mat/Vazquez-MAT-SerieA-17(2010)-pp1-41.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
optionsnumerical methodsstochastic modelspricingdynamic hedgingItô calculusinterest rate derivativesBlack-Scholes models
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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