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Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor
Year2011
VenueSIAM Journal on Financial Mathematics
Typearticle
Citations32
DOI10.1137/100796832
OpenAlexW2059676916

Topics

Stochastic processes and financial applicationsMathematicsDimension (graph theory)Euclidean spaceSobolev spaceCommutator