scientific article

zbMATH Open1142.91547MaRDI QIDQ3521161

Karin Mautner

Publication date: 20 August 2008

Full work available at URL: http://edoc.hu-berlin.de/docviews/abstract.php?lang=ger&id=27818

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Variational inequalities (49J40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (3)

Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models ⋮ Numerical schemes for variational inequalities arising in international asset pricing ⋮ Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

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