A new nonlinear partial differential equation in finance and a method of its solution
Andrey Itkin
| Year of publication: |
February 2018
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|---|---|
| Authors: | Itkin, Andrey |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 4, p. 1-21
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| Subject: | nonlinear partial differential equation (PDE) | optimization | finite-difference scheme | options | pricing | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Finanzmathematik | Mathematical finance | Nichtlineare Regression | Nonlinear regression | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.341 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848371