Ray methods for free boundary problems

DOI10.1090/S0033-569X-06-00993-4zbMath1117.35083OpenAlexW2115434847MaRDI QIDQ3429097

John R. King, J. A. Addison, S. D. Howison

Publication date: 30 March 2007

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0033-569x-06-00993-4

zbMATH Keywords

approximationStefan problemray methodsBlack-Scholes problemWKB ansatz

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Degenerate parabolic equations (35K65) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63) Free boundary problems for PDEs (35R35) Asymptotic analysis for problems in thermodynamics and heat transfer (80M35)

Related Items (4)

On a free boundary problem for an American put option under the CEV process ⋮ Asymptotics of Barrier Option Pricing Under the CEV Process ⋮ Matched asymptotic expansions in financial engineering ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

Cites Work

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