Numerical Methods for Nonlinear PDEs in Finance

DOI10.1007/978-3-642-17254-0_18zbMath1229.91337OpenAlexW77275776MaRDI QIDQ3112471

Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_18

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear-quadratic optimal control problems (49N10) Discrete approximations in optimal control (49M25)

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