Option pricing under risk-minimization criterion in an incomplete market with the finite difference method

DOI10.1155/2013/165727zbMath1296.91285OpenAlexW2004649539WikidataQ59023178 ScholiaQ59023178MaRDI QIDQ460210

Xinfeng Ruan, Jiexiang Huang, Wenli Zhu, Shuang Li

Publication date: 13 October 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/165727

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) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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