scientific article; zbMATH DE number 1069623
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Publication:4356585
zbMath0898.90035MaRDI QIDQ4356585
Jean-Michel Lasry, Eric Fournié, Pierre-Louis Lions
Publication date: 1 October 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Monte Carlo simulationsBlack-Scholes modeldiffusion modelsasymptotic estimationsvolatilitiesout-of-the-money contingent claimswell conditioned nonlinear PDEs
Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications to the sciences (65Z05)
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