Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates
| Year of publication: |
2002-07-01
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| Authors: | Gozzi, Fausto ; Sanfelici, Simona |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | contingent claim pricing | finite element method | semigroup approach | energy method | degenerate parabolic equations | discontinuous data |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 129 |
| Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques ; C60 - Mathematical Methods and Programming. General |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005537687