Partial Differential Equations for Option Pricing

DOI10.1016/S1570-8659(08)00011-2zbMath1180.91311OpenAlexW70989957MaRDI QIDQ3631194

Yves Achdou, Olivier Pironneau

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00011-2

zbMATH Keywords

sensitivityPDEstochastic volatilityFEMBlack-Scholessparse methodsDupire's equationEuropean callAmerican basketEuropean basket

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) 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) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

Related Items (1)

Variational Analysis for Options with Stochastic Volatility and Multiple Factors

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