Numerical Analysis of Novel Finite Difference Methods
DOI10.1007/978-3-319-61282-9_10zbMath1420.91504OpenAlexW2755357491MaRDI QIDQ4626501
Fazlollah Soleymani, Rafael Company, Mohamed El Fakharany, Lucas Jodar, Vera N. Egorova
Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_10
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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