On the use of boundary conditions for variational formulations arising in financial mathematics.
type: Item
instance of: scholarly article
title: On the use of boundary conditions for variational formulations arising in financial mathematics.
zbMATH Open document ID: 1047.91033
DOI: 10.1016/S0096-3003(00)00087-4
author: Michael D. Marcozzi
author: Seungmook Choi
author: C. S. Chen
published in: Applied Mathematics and Computation
publication date: 2003-01-28T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 65M99
zbMATH DE Number: 1860958
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: radial basis function
zbMATH Keywords: domain decomposition
zbMATH Keywords: Bermuda approximation
describes a project that uses: Algorithm 431
MaRDI profile type: Publication
cites work: Q4226828
cites work: On the theory of option pricing
cites work: Q3935745
cites work: Pricing American-style securities using simulation
cites work: The parameter \(R^ 2\) in multiquadric interpolation
cites work: Q4310146
cites work: Q4003375
cites work: Adaptive Finite Element Methods for Parabolic Problems I: A Linear Model Problem
cites work: Convergence order estimates of meshless collocation methods using radial basis functions
cites work: Differential equations for the magnetic confinement of a plasma
cites work: The Finite Element Method with Nonuniform Mesh Sizes for Unbounded Domains
cites work: Variational inequalities and the pricing of American options
cites work: Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
cites work: Multinomial Approximating Models for Options with k State Variables
cites work: On the pricing of American options
cites work: Q4002884
cites work: Bimatrix Equilibrium Points and Mathematical Programming
cites work: On the approximation of optimal stopping problems with application to financial mathematics
cites work: The Mathematics of Financial Derivatives
cites work: Penalty methods for American options with stochastic volatility
full work available at URL: s0096-3003(00)00087-4
OpenAlex ID: W2046709860
description: scientific article; zbMATH DE number 1860958