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Found 19 Documents (Results 1–19)

Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation. arXiv:2108.12598

Preprint, arXiv:2108.12598 [math.AP] (2021).
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Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing. arXiv:2106.10498

Preprint, arXiv:2106.10498 [q-fin.MF] (2021).
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Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (English) Zbl 1420.91457

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 129-142 (2017).
MSC:  91G20 60G40 91G60
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On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations. (English) Zbl 1246.91152

Günther, Michael (ed.) et al., Progress in industrial mathematics at ECMI 2010. Proceedings of the 16th European conference on mathematics for industry, Wuppertal, Germany, July 26–30, 2010. Berlin: Springer (ISBN 978-3-642-25099-6/hbk; 978-3-642-25100-9/ebook). Mathematics in Industry 17, 207-213 (2012).
MSC:  91G60 91G20
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Comparison of two numerical methods for computation of American type of the floating strike Asian option. (English) Zbl 1354.91165

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 8th international conference, LSSC 2011, Sozopol, Bulgaria, June 6–10, 2011. Revised selected papers. Berlin: Springer (ISBN 978-3-642-29842-4/pbk). Lecture Notes in Computer Science 7116, 558-565 (2012).
MSC:  91G60 65M06 91G20
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On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures. (English) Zbl 1381.91002

Beneš, Michal (ed.) et al., Proceedings of the Czech-Japanese seminar in applied mathematics, Miyazaki, Japan, September 1–7, 2008. Fukuoka: Kyushu University, Faculty of Mathematics. COE Lecture Note 14, 40-48 (2009).
MSC:  91G20 35C20 60H10
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