Option pricing in the presence of random arbitrage return

DOI10.1080/00207160902814626zbMath1163.91387OpenAlexW2164642770MaRDI QIDQ3636741

Jungmin Choi, Max D. Gunzburger

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160902814626

zbMATH Keywords

option pricingfinite element methodsstochastic PDEsrandom arbitrage return

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic volatility, smile & asymptotics
• The Mathematics of Financial Derivatives