Search Results - subject:"Finite difference approximation"

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...

Persistent link: https://www.econbiz.de/10013201083

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12

Persistent link: https://www.econbiz.de/10012627673

Welfare analysis of HIV/AIDS: Formulating and computing a continuous time overlapping generations policy model

Shorish, Jamsheed - 2007

dynamic programming problem is presented and the numerical approximation using a finite difference approximation is derived …

Persistent link: https://www.econbiz.de/10010294015

Welfare Analysis of HIV/AIDS: Formulating and Computing a Continuous Time Overlapping Generations Policy Model

Shorish, Jamsheed - Department of Economics and Finance Research and … - 2007

dynamic programming problem is presented and the numerical approximation using a finite difference approximation is derived …

Persistent link: https://www.econbiz.de/10005247720

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

McDonald, Stuart - Volkswirtschaftliche Fakultät, … - 2006

provides a proof that the MOL can be used to provide a finite difference approximation of the boundary value solutions for two …

Persistent link: https://www.econbiz.de/10005837318