Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
DOI10.1155/S1026022601000176zbMath1001.91050OpenAlexW1970596805MaRDI QIDQ5953848
Patrick Windpassinger, Stefan Panig, Andreas Ruffing
Publication date: 29 January 2002
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/s1026022601000176
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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