Newton-Based Solvers for Nonlinear PDEs in Finance

DOI10.1007/978-3-319-61282-9_12zbMath1420.91523OpenAlexW2753944877MaRDI QIDQ4626503

Shih-Hau Tan, Choi-Hong Lai

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_12

zbMATH Keywords

nonlinear PDENewton solvers

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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps ⋮ Choice of an initial guess for Newton's method to solve nonlinear differential equations

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