A fitted finite-volume method combined with the Lagrangian derivative for the weather option pricing model

DOI10.1515/CMAM-2015-0030zbMath1336.35327OpenAlexW2563668985MaRDI QIDQ901410

Shuhua Chang, Wenguang Tang

Publication date: 12 January 2016

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

Full work available at URL: https://doi.org/10.1515/cmam-2015-0030

zbMATH Keywords

option pricingpartial differential equationjump diffusionfitted finite volume methodLagrangean derivatives

Mathematics Subject Classification ID

Brownian motion (60J65) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for variational inequalities and related problems (65K15) PDEs in connection with statistics (35Q62)

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