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The Time-Discrete Method Of Lines For Options And Bonds: A PDE Approach
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.
The Time-Discrete Method Of Lines For Options And Bonds A PDE Approach.pdf
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发表于 2017-3-16 09:34:54
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