Hedging with a correlated asset: Solution of a nonlinear pricing PDE

DOI10.1016/j.cam.2005.12.008zbMath1152.91033OpenAlexW2034548366MaRDI QIDQ859866

J. Wang, H. Windcliff, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 22 January 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.12.008

zbMATH Keywords

viscosity solutionhedgingbasis riskcontingent claimmonotone discretization

Mathematics Subject Classification ID

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