Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates.
| Year of publication: |
2002-07-01
|
|---|---|
| Authors: | Gozzi, Fausto ; Sanfelici, Simona |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | contingent claim pricing | finite element method | semigroup approach | energy method | degenerate parabolic equation | discontinuous data |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 130 |
| Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques ; C60 - Mathematical Methods and Programming. General |
| Source: |
Persistent link: https://www.econbiz.de/10005345440