Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation

DOI10.1137/16M1099017zbMath1377.91164OpenAlexW2768353242WikidataQ115246951 ScholiaQ115246951MaRDI QIDQ4600012

Christina C. Christara, Nat Chun-Ho Leung, Duy Minh Dang

Publication date: 5 January 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1099017

zbMATH Keywords

asymptotic solutionoption pricingpartial differential equationnumerical solutionstochastic correlation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

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