A forward equation for barrier options under the Brunick & Shreve Markovian projection

DOI10.1080/14697688.2015.1099718zbMath1465.91128arXiv1411.3618OpenAlexW3100330580MaRDI QIDQ5001174

Matthieu Mariapragassam, Christoph Reisinger, Benjamin M. Hambly

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3618

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) Numerical methods for integral equations, integral transforms (65R99)

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Cites Work

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• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

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