scientific article; zbMATH DE number 1453365
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Publication:4955537
zbMath0995.91026MaRDI QIDQ4955537
Frederic Hecht, Olivier Pironneau
Publication date: 21 October 2002
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
triangulationfinite element methodparabolic equationmesh generationfinancepricing of optionsBlack and Scholes equationcall option function
Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation ⋮ Option pricing with a direct adaptive sparse grid approach ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Space-time adaptive finite difference method for European multi-asset options ⋮ Two-factor convertible bonds valuation using the method of characteristics/finite elements ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ A numerical method for European option pricing with transaction costs nonlinear equation ⋮ Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff ⋮ Moving mesh methods in multiple dimensions based on harmonic maps ⋮ Computing option pricing models under transaction costs ⋮ Variational Analysis for the Black and Scholes Equation with Stochastic Volatility ⋮ Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods ⋮ Chebyshev reduced basis function applied to option valuation ⋮ A direct algorithm in some free boundary problems ⋮ Numerical solution of linear and nonlinear Black-Scholes option pricing equations ⋮ Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
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