An approximation scheme for Black-Scholes equations with delays
DOI10.1007/s11424-010-0139-6zbMath1198.91227OpenAlexW2093267762WikidataQ57439903 ScholiaQ57439903MaRDI QIDQ601061
Mou-Hsiung Chang, Moustapha Pemy, Tao Pang
Publication date: 3 November 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-0139-6
finite differenceviscosity solutionsstochastic functional differential equationsBlack-Scholes equation
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)
Related Items (2)
Cites Work
- The Pricing of Options and Corporate Liabilities
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